Model Fitting: Robust Regression

The 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 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 associated with them. When you select a method, the relevant options become active.

Options with Method=M

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.

Options with Method=LTS

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.

Options with Method=S

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.

Options with Method=MM

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.