robust regression (l1fit)
On Thu, 26 Jun 2003, Martin Maechler wrote:
"BDR" == Prof Brian Ripley <ripley at stats.ox.ac.uk>
on Wed, 25 Jun 2003 20:06:49 +0100 (BST) writes:
BDR> On Wed, 25 Jun 2003, Rafael Bertola wrote:
>> Is there a command in R that make the same regression
>> like l1fit in S-plus?
BDR> You can use the quantreg package.
This is an quite-FAQ, really. Maybe we need a list of "quite
frequently asked questions" or rather extend the FAQ?
Specifically, I wonder if it wasn't worth to add something like
the following to the quantreg package
l1fit <- function(x,y, intercept = TRUE)
{
warning("l1fit() in R is just a wrapper to rq(). Use that instead!")
if(intercept) rq(y ~ x, tau = 0.5)
else rq(y ~ x - 1, tau = 0.5)
}
(and an \alias{l1fit} to the rq.Rd help page)
So at least all who have quantreg installed will find l1fit
I'd be happy to add such a function, but I rather doubt that it would reduce the incidence of such questions. Putting a function like Martin's in base with the warning replaced by require(quantreg) might be more effective. Of course, in Splus lifit returns only coefficients and residuals without any attempt to do any inference, so one might also want to further restrict the output of rq() for full compatibility.
BDR> However, neither
BDR> l1fit nor that do `robust regression', so you need to
BDR> think more carefully about what you really want. There
BDR> are almost always better alternatives than L1 fits.
I "fervently" agree.
Most notably, the
rlm() {Robust Linear Models}
in package MASS (Venables and Ripley)!
Without wanting to get involved in any religious wars about robustness, I would simply observe that Brian's comment applies to life in general: there are almost always better alternatives to [any specified procedure]. So until someone produces a very convincing argument for the universal applicability of one particular procedure for robust regression, I would plea for "letting 100 flowers bloom and 100 schools of thought contend." url: www.econ.uiuc.edu Roger Koenker Dept. of Economics UCL, email rkoenker at uiuc.edu Department of Economics Drayton House, vox: 217-333-4558 University of Illinois 30 Gordon St, fax: 217-244-6678 Champaign, IL 61820 London,WC1H 0AX, UK