Model Fitting: Robust Regression: Method Tab :: SAS/IML(R) Studio 3.3: User's Guide

Model Fitting: Robust Regression

Method Tab

You can use the Method tab to specify options for one of four robust regression algorithms:

The Method tab is shown in Figure 22.3. Each of the following UI controls corresponds to an option in the ROBUSTREG procedure.

Method: specifies the algorithm used for the robust regression. The choices are M, LTS, S, and MM. This list corresponds to the METHOD= option in the PROC ROBUSTREG statement.
Outlier multiplier: specifies the multiplier of the robust estimate of scale to use for outlier detection. This box corresponds to the CUTOFF= option in the MODEL statement.
Leverage alpha: specifies a cutoff value for leverage-point detection. This box corresponds to the CUTOFFALPHA= suboption of the LEVERAGE option in the MODEL statement.

The various methods each have options that are associated with them. When you select a method, the relevant options become active.

With METHOD=M, you can specify the following additional suboptions:

Estimation of scale: specifies a method for estimating the scale parameter. This list corresponds to the SCALE= option.
Weight function: specifies the weight function used for the M estimate. This list corresponds to the WF= option.

With METHOD=LTS, you can specify the following additional suboptions:

Intercept adjustment: specifies the intercept adjustment method in the LTS algorithm. Choosing "Default" corresponds to omitting the IADJUST= option. The other choices correspond to IADJUST=ALL or IADJUST=NONE.

With METHOD=S, you can specify the following additional suboptions:

Chi function: specifies the choice of the $\text{[math]}$ function for the S estimator. This list corresponds to the CHIF= option.
Refine S estimate: specifies whether to refine for the S estimate. This check box corresponds to the NOREFINE option.

With METHOD=MM, you can specify the following additional suboptions:

Initial estimator: specifies the initial estimator for the MM estimator. This list corresponds to the INITEST= option.
Chi function: specifies the choice of the $\text{[math]}$ function for the MM estimator. This list corresponds to the CHIF= option.
Compute bias test: specifies whether to display the bias test for the final MM estimate. This check box corresponds to the BIASTEST option.