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h77
2005 Dec 22
1
Huber location estimate
...> huber(y)$mu
[1] 5.9117
> coefficients(rlm(y~1))
(Intercept)
5.9204
I was surprised to get two different results. The function huber() works
directly with the definition whereas rlm() uses iteratively reweighted
least squares.
My surprise is because I vaguely remember
@ARTICLE{hw77,
author = {Holland, P. W. and Welsch, R. E.},
title = {Robust Regression using Iteratively Reweighted Least-Squares},
journal = {Communications in Statistics: Theory and Methods},
volume = {A6(9)},
number = {},
pages = {813-827},
year = {1977}
}
as saying that the two...