R help - Apr 2005 - robust model selection criteria

Dear R-help-team,

do you know if there is a package for R available that contains a function,
which calculates a robust model selection criterium like robust AIC and has
a robust selection function like "step" for lm-objects, for an 
rlm-object.
Unfortunately, functions like "step" or "stepAIC" cannot be
applied to
rlm-objects. Moreover, these functions do not use  robust AIC.

Thanks for your help!

With best regards,
Carsten Colombier

Dr. Carsten Colombier
Economist
Group of Economic Advisers
Swiss Federal Finance Administration
Bundesgasse 3
CH-3003 Bern

phone +41 31 322 63 32
fax +41 31 323 08 33
email: carsten.colombier at efv.admin.ch
www.efv.admin.ch

-- Bert Gunter
Genentech Non-Clinical Statistics
South San Francisco, CA
 
"The business of the statistician is to catalyze the scientific learning
process."  - George E. P. Box
 
 
> -----Original Message-----
> From: r-help-bounces at stat.math.ethz.ch 
> [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of 
> Carsten.Colombier at efv.admin.ch
> Sent: Friday, April 29, 2005 9:26 AM
> To: r-help at stat.math.ethz.ch
> Subject: [R] robust model selection criteria
> 
> Dear R-help-team,
> 
> do you know if there is a package for R available that 
> contains a function,
> which calculates a robust model selection criterium like 
> robust AIC and has
> a robust selection function like "step" for lm-objects, for 
> an  rlm-object.
> Unfortunately, functions like "step" or "stepAIC"
cannot be applied to
> rlm-objects. Moreover, these functions do not use  robust AIC.
> 
??? How could this be meaningful? The robust "likelihood" need not
increase
as more parameters are added because of the robust reweighting (points would
be downweighted differently in the different models). How do you account for
the number of "parameters" in a robust model given that it is in
essence
nonlinear?

(This comment subject to correction/expansion by wiser heads than me)

-- Bert Gunter
Genentech Non-Clinical Statistics
South San Francisco, CA
 
"The business of the statistician is to catalyze the scientific learning
process."  - George E. P. Box