The ROBUSTREG Procedure

Overview: ROBUSTREG Procedure

The main purpose of robust regression is to detect outliers and provide resistant (stable) results in the presence of outliers. In order to achieve this stability, robust regression limits the influence of outliers. Historically, three classes of problems have been addressed with robust regression techniques:

  • problems with outliers in the y-direction (response direction)

  • problems with multivariate outliers in the x-space (that is, outliers in the covariate space, which are also referred to as leverage points)

  • problems with outliers in both the y-direction and the x-space

Many methods have been developed in response to these problems. However, in statistical applications of outlier detection and robust regression, the methods most commonly used today are Huber M estimation, high breakdown value estimation, and combinations of these two methods. 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 data analysis when contamination can be assumed to be 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. The performance of this method was improved by the FAST-LTS algorithm of Rousseeuw and Van¬†Driessen (2000).

  • 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.