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LMS Call

CALL LMS( sc, coef, wgt, opt, y <*>, x <*>, sorb ) ;

The LMS subroutine performs Least Median of Squares (LMS) robust regression (sometimes called resistant regression) by minimizing the th-ordered squared residual. The subroutine is able to detect outliers and perform a least squares regression on the remaining observations.

The algorithm used in the LMS subroutine is based on the PROGRESS program of Rousseeuw and Hubert (1996), which is an updated version of Rousseeuw and Leroy (1987). In the special case of regression through the origin with a single regressor, Barreto and Maharry (2006) show that the PROGRESS algorithm does not, in general, find the slope that yields the least median of squares. Starting with release 9.2, the LMS subroutine uses the algorithm of Barreto and Maharry (2006) to obtain the correct LMS slope in the case of regression through the origin with a single regressor. In this case, input arguments that are specific to the PROGRESS algorithm are ignored and output specific to the PROGRESS algorithm is suppressed.

The value of can be specified, but in most applications the default value works just fine and the results seem to be quite stable toward different choices of .

In the following discussion, is the number of observations and is the number of regressors. The input arguments to the LMS subroutine are as follows:

opt

refers to an options vector with the following components (missing values are treated as default values). The options vector can be a null vector.

opt[1]

specifies whether an intercept is used in the model (opt[1]=0) or not (opt[1]). If opt[1]=0, then a column of ones is added as the last column to the input matrix ; that is, you do not need to add this column of ones yourself. The default is opt[1]=0.

opt[2]

specifies the amount of printed output. Higher values request additional output and include the output of lower values.

opt[2]=0

prints no output except error messages.

opt[2]=1

prints all output except (1) arrays of , such as weights, residuals, and diagnostics; (2) the history of the optimization process; and (3) subsets that result in singular linear systems.

opt[2]=2

additionally prints arrays of , such as weights, residuals, and diagnostics; also prints the case numbers of the observations in the best subset and some basic history of the optimization process.

opt[2]=3

additionally prints subsets that result in singular linear systems.

The default is opt[2]=0.

opt[3]

specifies whether only LMS is computed or whether, additionally, least squares (LS) and weighted least squares (WLS) regression are computed.

opt[3]=0

computes only LMS.

opt[3]=1

computes, in addition to LMS, weighted least squares regression on the observations with small LMS residuals (where small is defined by opt[8]).

opt[3]=2

computes, in addition to LMS, unweighted least squares regression.

opt[3]=3

adds both unweighted and weighted least squares regression to LMS regression.

The default is opt[3]=0.

opt[4]

specifies the quantile to be minimized. This is used in the objective function. The default is opt[4], which corresponds to the highest possible breakdown value. This is also the default of the PROGRESS program. The value of should be in the range

opt[5]

specifies the number of generated subsets. Each subset consists of observations , where . The total number of subsets that contain observations out of observations is

     

where is the number of parameters including the intercept.

Due to computer time restrictions, not all subset combinations of observations out of can be inspected for larger values of and . Specifying a value of enables you to save computer time at the expense of computing a suboptimal solution.

If opt[5] is zero or missing, the default number of subsets is taken from the following table.

n

1

2

3

4

5

6

7

8

9

10

500

50

22

17

15

14

0

0

0

0

1414

182

71

43

32

27

24

23

22

500

1000

1500

2000

2500

3000

3000

3000

3000

3000

n

11

12

13

14

15

0

0

0

0

0

22

22

22

23

23

3000

3000

3000

3000

3000

If the number of cases (observations) is smaller than , then all possible subsets are used; otherwise, subsets are chosen randomly. This means that an exhaustive search is performed for opt[5]=. If is larger than , a note is printed in the log file that indicates how many subsets exist.

opt[6]

is not used.

opt[7]

specifies whether the last argument sorb contains a given parameter vector or a given subset for which the objective function should be evaluated.

opt[7]=0

sorb contains a given subset index.

opt[7]=1

sorb contains a given parameter vector .

The default is opt[7]=0.

opt[8]

is relevant only for LS and WLS regression (opt[3] > 0). It specifies whether the covariance matrix of parameter estimates and approximate standard errors (ASEs) are computed and printed.

opt[8]=0

does not compute covariance matrix and ASEs.

opt[8]=1

computes covariance matrix and ASEs but prints neither of them.

opt[8]=2

computes the covariance matrix and ASEs but prints only the ASEs.

opt[8]=3

computes and prints both the covariance matrix and the ASEs.

The default is opt[8]=0.

y

refers to an response vector.

x

refers to an matrix of regressors. If opt[1] is zero or missing, an intercept is added by default as the last column of . If the matrix is not specified, is analyzed as a univariate data set.

sorb

refers to an vector that contains either of the following:

  • observation numbers of a subset for which the objective function should be evaluated; this subset can be the start for a pairwise exchange algorithm if opt[7] is specified.

  • given parameters (including the intercept, if necessary) for which the objective function should be evaluated.

Missing values are not permitted in or . Missing values in opt cause the default value to be used.

The LMS subroutine returns the following values:

sc

is a column vector that contains the following scalar information, where rows 1–9 correspond to LMS regression and rows 11–14 correspond to either LS or WLS:

sc[1]

the quantile used in the objective function

sc[2]

number of subsets generated

sc[3]

number of subsets with singular linear systems

sc[4]

number of nonzero weights

sc[5]

lowest value of the objective function attained

sc[6]

preliminary LMS scale estimate

sc[7]

final LMS scale estimate

sc[8]

robust (coefficient of determination)

sc[9]

asymptotic consistency factor

If opt[3] > 0, then the following are also set:

sc[11]

LS or WLS objective function (sum of squared residuals)

sc[12]

LS or WLS scale estimate

sc[13]

value for LS or WLS

sc[14]

value for LS or WLS

For opt[3]=1 or opt[3]=3, these rows correspond to WLS estimates; for opt[3]=2, these rows correspond to LS estimates.

coef

is a matrix with columns that contains the following results in its rows:

coef[1,]

LMS parameter estimates

coef[2,]

indices of observations in the best subset

If opt[3] > 0, then the following are also set:

coef[3]

LS or WLS parameter estimates

coef[4]

approximate standard errors of LS or WLS estimates

coef[5]

-values

coef[6]

-values

coef[7]

lower boundary of Wald confidence intervals

coef[8]

upper boundary of Wald confidence intervals

For opt[3]=1 or opt[3]=3, these rows correspond to WLS estimates; for opt[3]=2, to LS estimates.

wgt

is a matrix with columns that contains the following results in its rows:

wgt[1]

weights (=1 for small, =0 for large residuals)

wgt[2]

residuals

wgt[3]

resistant diagnostic (note that the resistant diagnostic cannot be computed for a perfect fit when the objective function is zero or nearly zero)

Example

Consider results for Brownlee (1965) stackloss data. The three explanatory variables correspond to measurements for a plant oxidizing ammonia to nitric acid:

  • air flow to the plant

  • cooling water inlet temperature

  • acid concentration

on 21 consecutive days. The response variable gives the permillage of ammonia lost (stackloss). The data are also given by Rousseeuw and Leroy (1987) and Osborne (1985). Rousseeuw and Leroy (1987) cite a large number of papers where this data set was analyzed and state that most researchers "concluded that observations 1, 3, 4, and 21 were outliers," and that some people also reported observation 2 as an outlier.

For and (three explanatory variables including intercept), you obtain a total of 5985 different subsets of 4 observations out of 21. If you decide not to specify optn[5], the LMS subroutine chooses random sample subsets. Since there is a large number of subsets with singular linear systems, which you do not want to print, choose optn[2]=2 for reduced printed output.

   /* X1  X2  X3   Y  Stackloss data */
aa = { 1  80  27  89  42,
       1  80  27  88  37,
       1  75  25  90  37,
       1  62  24  87  28,
       1  62  22  87  18,
       1  62  23  87  18,
       1  62  24  93  19,
       1  62  24  93  20,
       1  58  23  87  15,
       1  58  18  80  14,
       1  58  18  89  14,
       1  58  17  88  13,
       1  58  18  82  11,
       1  58  19  93  12,
       1  50  18  89   8,
       1  50  18  86   7,
       1  50  19  72   8,
       1  50  19  79   8,
       1  50  20  80   9,
       1  56  20  82  15,
       1  70  20  91  15 };

a = aa[, 2:4]; b = aa[, 5];
optn = j(8, 1, .);
optn[2]= 2;    /* ipri */
optn[3]= 3;    /* ilsq */
optn[8]= 3;    /* icov */

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

The first portion of the output displays descriptive statistics, as shown in Figure 23.154:

Figure 23.154 Descriptive Statistics

LMS: The 13th ordered squared residual will be minimized.

Median and Mean
  Median Mean
VAR1 58 60.428571429
VAR2 20 21.095238095
VAR3 87 86.285714286
Intercep 1 1
Response 15 17.523809524


There are 5985 subsets of 4 cases out of 21 cases.


The algorithm will draw 2000 random subsets of 4 cases.


Random Subsampling for LMS


Minimum Criterion= 0.1264668282


Least Median of Squares (LMS) Method


Minimizing 13th Ordered Squared Residual.


Highest Possible Breakdown Value = 42.86 %


Random Selection of 2103 Subsets


Among 2103 subsets 103 is/are singular.


LMS Objective Function = 0.75

Dispersion and Standard Deviation
  Dispersion StdDev
VAR1 5.930408874 9.1682682584
VAR2 2.965204437 3.160771455
VAR3 4.4478066555 5.3585712381
Intercep 0 0
Response 5.930408874 10.171622524

The next portion of the output shows the least squares estimates and the covariance of the estimates. Information on the residuals are also displayed, but are not shown in Figure 23.155.

Figure 23.155 Least Squares Estimates
Dispersion and Standard Deviation
  Dispersion StdDev
VAR1 5.930408874 9.1682682584
VAR2 2.965204437 3.160771455
VAR3 4.4478066555 5.3585712381
Intercep 0 0
Response 5.930408874 10.171622524


Unweighted Least-Squares Estimation

LS Parameter Estimates
Variable Estimate Approx
Std Err
t Value Pr > |t| Lower WCI Upper WCI
VAR1 0.7156402 0.13485819 5.31 <.0001 0.45132301 0.97995739
VAR2 1.29528612 0.36802427 3.52 0.0026 0.57397182 2.01660043
VAR3 -0.1521225 0.15629404 -0.97 0.3440 -0.4584532 0.15420818
Intercep -39.919674 11.8959969 -3.36 0.0038 -63.2354 -16.603949


Preliminary LMS Scale = 1.0478510755


Robust R Squared = 0.96484375


Final LMS Scale = 1.2076147288


Distribution of Residuals


Median(U)= 4.5864208797


Weighted Least-Squares Estimation


Weighted Sum of Squares = 20.400800254


Degrees of Freedom = 13


RLS Scale Estimate = 1.2527139846


Weighted R-squared = 0.9750062263


Sum of Squares = 178.8299616


Degrees of Freedom = 17


LS Scale Estimate = 3.2433639182

Cov Matrix of Parameter Estimates
  VAR1 VAR2 VAR3 Intercep
VAR1 0.0181867302 -0.036510675 -0.007143521 0.2875871057
VAR2 -0.036510675 0.1354418598 0.0000104768 -0.651794369
VAR3 -0.007143521 0.0000104768 0.024427828 -1.676320797
Intercep 0.2875871057 -0.651794369 -1.676320797 141.51474107


F(3,13) Statistic = 169.04317954


Probability = 1.158521E-10


There are 17 points with nonzero weight.


Average Weight = 0.8095238095


Distribution of Residuals


The run has been executed successfully.


R-squared = 0.9135769045


F(3,17) Statistic = 59.9022259


Probability = 3.0163272E-9

The LMS subroutine prints results for the 2,000 random subsets. Figure 23.156 shows the iteration history, the best subset of observations that are used to form estimates, and the estimated parameters. The subroutine also displays residual information (not shown).

Figure 23.156 Least Median Squares Estimates
MinRes 1st Qu. Median Mean 3rd Qu. MaxRes
-7.237712859 -1.814569436 -0.455092955 3.383537E-16 1.8867828182 5.6977741706


There are 5985 subsets of 4 cases out of 21 cases.


The algorithm will draw 2000 random subsets of 4 cases.


Random Subsampling for LMS

Subset Singular Best
Criterion
Percent
500 23 0.163262 25
1000 55 0.140519 50
1500 79 0.140519 75
2000 103 0.126467 100


Minimum Criterion= 0.1264668282


Least Median of Squares (LMS) Method


Minimizing 13th Ordered Squared Residual.


Highest Possible Breakdown Value = 42.86 %


Random Selection of 2103 Subsets


Among 2103 subsets 103 is/are singular.

Observations of Best Subset
15 11 19 10

Estimated Coefficients
VAR1 VAR2 VAR3 Intercep
0.75 0.5 0 -39.25

Observations 1, 3, 4, and 21 have scaled residuals larger than 2.0 (table not shown) and are considered outliers. The corresponding WLS estimates are shown in Figure 23.157:

Figure 23.157 Weighted Least Squares Estimates
Estimated Coefficients
VAR1 VAR2 VAR3 Intercep
0.75 0.5 0 -39.25


LMS Objective Function = 0.75


Preliminary LMS Scale = 1.0478510755


Robust R Squared = 0.96484375


Final LMS Scale = 1.2076147288

LMS Residuals
N Observed Estimated Residual Res / S
1 42.000000 34.250000 7.750000 6.417610
2 37.000000 34.250000 2.750000 2.277216
3 37.000000 29.500000 7.500000 6.210590
4 28.000000 19.250000 8.750000 7.245688
5 18.000000 18.250000 -0.250000 -0.207020
6 18.000000 18.750000 -0.750000 -0.621059
7 19.000000 19.250000 -0.250000 -0.207020
8 20.000000 19.250000 0.750000 0.621059
9 15.000000 15.750000 -0.750000 -0.621059
10 14.000000 13.250000 0.750000 0.621059
11 14.000000 13.250000 0.750000 0.621059
12 13.000000 12.750000 0.250000 0.207020
13 11.000000 13.250000 -2.250000 -1.863177
14 12.000000 13.750000 -1.750000 -1.449138
15 8.000000 7.250000 0.750000 0.621059
16 7.000000 7.250000 -0.250000 -0.207020
17 8.000000 7.750000 0.250000 0.207020
18 8.000000 7.750000 0.250000 0.207020
19 9.000000 8.250000 0.750000 0.621059
20 15.000000 12.750000 2.250000 1.863177
21 15.000000 23.250000 -8.250000 -6.831649


Distribution of Residuals

MinRes 1st Qu. Median Mean 3rd Qu. MaxRes
-8.25 -0.5 0.25 0.9047619048 0.75 8.75

Resistant Diagnostic
N U Resistant
Diagnostic
1 10.448052 2.278040
2 7.931751 1.729399
3 10.000000 2.180349
4 11.666667 2.543741
5 2.729730 0.595176
6 3.486486 0.760176
7 4.729730 1.031246
8 4.243243 0.925175
9 3.648649 0.795533
10 3.759835 0.819775
11 4.605767 1.004218
12 4.925169 1.073859
13 3.888889 0.847914
14 4.586421 1.000000
15 5.297030 1.154938
16 4.009901 0.874299
17 6.679576 1.456381
18 4.305340 0.938715
19 4.019976 0.876495
20 3.000000 0.654105
21 11.000000 2.398384


Median(U)= 4.5864208797


Weighted Least-Squares Estimation

RLS Parameter Estimates Based on LMS
Variable Estimate Approx
Std Err
t Value Pr > |t| Lower WCI Upper WCI
VAR1 0.79768556 0.06743906 11.83 <.0001 0.66550742 0.9298637
VAR2 0.57734046 0.16596894 3.48 0.0041 0.25204731 0.9026336
VAR3 -0.0670602 0.06160314 -1.09 0.2961 -0.1878001 0.05367975
Intercep -37.652459 4.73205086 -7.96 <.0001 -46.927108 -28.37781


Weighted Sum of Squares = 20.400800254


Degrees of Freedom = 13


RLS Scale Estimate = 1.2527139846

Cov Matrix of Parameter Estimates
  VAR1 VAR2 VAR3 Intercep
VAR1 0.0045480273 -0.007921409 -0.001198689 0.0015681747
VAR2 -0.007921409 0.0275456893 -0.00046339 -0.065017508
VAR3 -0.001198689 -0.00046339 0.0037949466 -0.246102248
Intercep 0.0015681747 -0.065017508 -0.246102248 22.392305355


Weighted R-squared = 0.9750062263


F(3,13) Statistic = 169.04317954


Probability = 1.158521E-10


There are 17 points with nonzero weight.


Average Weight = 0.8095238095

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