The ROBUSTREG procedure implements algorithms to detect outliers and provide resistant (stable) results in the presence of outliers. The ROBUSTREG procedure provides four such methods: M estimation, LTS estimation, S estimation, and MM estimation.
M estimation was introduced by Huber (1973), and it is the simplest approach both computationally and theoretically. Although it is not robust with respect to leverage points, it is still used extensively in analyzing data for which it can be assumed that the contamination is mainly in the response direction.
Least trimmed squares (LTS) estimation is a high breakdown value method introduced by Rousseeuw (1984). The breakdown value is a measure of the proportion of contamination that an estimation method can withstand and still maintain its robustness.
S estimation is a high breakdown value method introduced by Rousseeuw and Yohai (1984). With the same breakdown value, it has a higher statistical efficiency than LTS estimation.
MM estimation, introduced by Yohai (1987), combines high breakdown value estimation and M estimation. It has both the high breakdown property and a higher statistical efficiency than S estimation.
For diagnostic purposes, the ROBUSTREG procedure also implements robust leverage-point detection based on the robust Mahalanobis distance. The robust distance is computed by using a generalized minimum covariance determinant (MCD) algorithm.