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 options 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 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 corresponds to the CUTOFF= option in the MODEL statement.
- Leverage alpha
-
specifies a cutoff value for leverage-point detection. This 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 corresponds to the SCALE= option.
- Weight function
-
specifies the weight function used for the M estimate. This 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
function for the S estimator. This corresponds to the CHIF= option.
- Refine S estimate
-
specifies whether to refine for the S estimate. This 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 corresponds to the INITEST= option.
- Chi function
-
specifies the choice of the
function for the MM estimator. This corresponds to the CHIF= option.
- Compute bias test
-
specifies whether to display the bias test for the final MM estimate. This corresponds to the BIASTEST option.