Example 12.1 LMS and LTS with Substantial Leverage Points: Hertzsprung-Russell Star Data

The following data are reported in Rousseeuw and Leroy (1987) and are based on Humphreys (1978) and Vansina and De Greve, J. P. (1982). The 47 observations correspond to the 47 stars of the CYG OB1 cluster in the direction of the constellation Cygnus. The regressor variable (column 2) is the logarithm of the effective temperature at the surface of the star (), and the response variable (column 3) is the logarithm of its light intensity (). The results for LS and LMS on page 28 of Rousseeuw and Leroy (1987) are based on a more precise (five decimal places) version of the data set. This data set is remarkable in that it contains four substantial leverage points (which represent giant stars) that greatly affect the results of and even regression. The high leverage points are observations 11, 20, 30, and 34.

ab =  { 1  4.37  5.23,   2  4.56  5.74,   3  4.26  4.93,
        4  4.56  5.74,   5  4.30  5.19,   6  4.46  5.46,
        7  3.84  4.65,   8  4.57  5.27,   9  4.26  5.57,
       10  4.37  5.12,  11  3.49  5.73,  12  4.43  5.45,
       13  4.48  5.42,  14  4.01  4.05,  15  4.29  4.26,
       16  4.42  4.58,  17  4.23  3.94,  18  4.42  4.18,
       19  4.23  4.18,  20  3.49  5.89,  21  4.29  4.38,
       22  4.29  4.22,  23  4.42  4.42,  24  4.49  4.85,
       25  4.38  5.02,  26  4.42  4.66,  27  4.29  4.66,
       28  4.38  4.90,  29  4.22  4.39,  30  3.48  6.05,
       31  4.38  4.42,  32  4.56  5.10,  33  4.45  5.22,
       34  3.49  6.29,  35  4.23  4.34,  36  4.62  5.62,
       37  4.53  5.10,  38  4.45  5.22,  39  4.53  5.18,
       40  4.43  5.57,  41  4.38  4.62,  42  4.45  5.06,
       43  4.50  5.34,  44  4.45  5.34,  45  4.55  5.54,
       46  4.45  4.98,  47  4.42  4.50 } ;

a = ab[,2]; b = ab[,3];

The following statements specify that most of the output be printed:

print "*** Hertzsprung-Russell Star Data: Do LMS ***";
optn = j(9,1,.);
optn[2]= 3;    /* ipri */
optn[3]= 3;    /* ilsq */
optn[8]= 3;    /* icov */

call lms(sc,coef,wgt,optn,b,a);

Some simple statistics for the independent and response variables are shown in Output 12.1.1.

Output 12.1.1 Some Simple Statistics
Median and Mean
  Median Mean
VAR1 4.42 4.31
Intercep 1 1
Response 5.1 5.0121276596

Dispersion and Standard Deviation
  Dispersion StdDev
VAR1 0.163086244 0.2908234187
Intercep 0 0
Response 0.6671709983 0.5712493409

Partial output for LS regression is shown in Output 12.1.2.

Output 12.1.2 Table of Unweighted LS Regression
LS Parameter Estimates
Variable Estimate Approx
Std Err
t Value Pr > |t| Lower WCI Upper WCI
VAR1 -0.4133039 0.28625748 -1.44 0.1557 -0.9743582 0.14775048
Intercep 6.7934673 1.23651563 5.49 <.0001 4.3699412 9.21699339

Cov Matrix of Parameter Estimates
  VAR1 Intercep
VAR1 0.0819433428 -0.353175807
Intercep -0.353175807 1.5289708954

Output 12.1.3 displays the iteration history. Looking at the column Best Crit in the iteration history table, you see that, with complete enumeration, the optimal solution is quickly found.

Output 12.1.3 History of the Iteration Process
Subset Singular Best
Criterion
Percent
271 5 0.392791 25
541 8 0.392791 50
811 27 0.392791 75
1081 45 0.392791 100

The results of the optimization for LMS estimation are displayed in Output 12.1.4.

Output 12.1.4 Results of Optimization
Observations of Best Subset
2 29

Estimated Coefficients
VAR1 Intercep
3.9705882353 -12.62794118

Output 12.1.5 displays the results for WLS regression. Due to the size of the scaled residuals, six observations (with numbers 7, 9, 11, 20, 30, 34) were assigned zero weights in the following WLS analysis.

The LTS regression implements the FAST-LTS algorithm, which improves the algorithm (used in SAS/IML Version 7 and earlier versions, denoted as V7 LTS in this chapter) in Rousseeuw and Leroy (1987) by using techniques called "selective iteration" and "nested extensions." These techniques are used in the C-steps of the algorithm. See Rousseeuw and Van Driessen (2000) for details. The FAST-LTS algorithm significantly improves the speed of computation.

Output 12.1.5 Table of Weighted LS Regression Based on LMS
RLS Parameter Estimates Based on LMS
Variable Estimate Approx
Std Err
t Value Pr > |t| Lower WCI Upper WCI
VAR1 3.04615694 0.43733923 6.97 <.0001 2.18898779 3.90332608
Intercep -8.5000549 1.92630783 -4.41 <.0001 -12.275549 -4.7245609

Cov Matrix of Parameter Estimates
  VAR1 Intercep
VAR1 0.1912656038 -0.842128459
Intercep -0.842128459 3.7106618752

The following statements implement the LTS regression on the Hertzsprung-Russell star data:

print "*** Hertzsprung-Russell Star Data: Do LTS ***";
optn = j(9,1,.);
optn[2]= 3;    /* ipri */
optn[3]= 3;    /* ilsq */
optn[8]= 3;    /* icov */

call lts(sc,coef,wgt,optn,b,a);

Output 12.1.6 summarizes the information for the LTS optimization.

Output 12.1.6 Summary of Optimization
2 4 6 10 13 15 17 19 21 22 25 27 28 29 33 35 36 38 39 41 42 43 44 45 46

Output 12.1.7 displays the optimization results and Output 12.1.8 displays the weighted LS regression based on LTS estimates.

Output 12.1.7 Results of Optimization
Estimated Coefficients
VAR1 Intercep
4.219182102 -13.6239903

Output 12.1.8 Table of Weighted LS Regression Based on LTS
RLS Parameter Estimates Based on LTS
Variable Estimate Approx
Std Err
t Value Pr > |t| Lower WCI Upper WCI
VAR1 3.04615694 0.43733923 6.97 <.0001 2.18898779 3.90332608
Intercep -8.5000549 1.92630783 -4.41 <.0001 -12.275549 -4.7245609

Cov Matrix of Parameter Estimates
  VAR1 Intercep
VAR1 0.1912656038 -0.842128459
Intercep -0.842128459 3.7106618752