R: Regression with t errors?
Date: Mon, 11 Jan 1999 15:23:10 +0100 From: Kjetil Halvorsen <khal at alumni.uv.es> To: "Morris, Jeffrey (JCD-RL)" <JMorris at OCDUS.JNJ.COM> CC: "'R-Help'" <r-help at stat.math.ethz.ch> Subject: [R] R: Regression with t errors? Has anybody implemented/knows about ways to do in R regression based on t-distributed residuals? I can write something with IRLS, but would like to know if I can aviud it. Kjetil Halvorsen
This is just M-estimation with a particular form of down-weighting. You should be able to harness my rlm function (use the version in lqs.tar.gz) to do this for you just by writing a weighting function in R.
Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272860 (secr) Oxford OX1 3TG, UK Fax: +44 1865 272595 -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._