Algorithms, Routines, and S-Functions for Robust Statistics

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CRC Press, Feb 1, 1993 - Mathematics - 440 pages
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ROBETH (written in ANSI FORTRAN 77) is a systematized collection of algorithms that allows computation of a broad class of procedures based on M- and high-breakdown point estimation, including robust regression, robust testing of linear hypotheses, and robust coveriances.

This book describes the computational procedures included in ROBETH. Each chapter is organized into three parts:
1. An overview of the theoretical background for the statistical and numerical methods
2. A detailed description of the corresponding FORTRAN subroutines and of the numerical algorithms as they are implemented
3. The scripts of several examples concerning the use of ROBETH by means of the S-PLUS interface, including some examples of high-level S functions.
 

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Contents

Introduction
1
Classes of Problems and Robust Methods
7
Robust Covariance Matrices
14
Scale in Linear Regression
51
Weights for Bounded Influence
105
Covariance Matrix of
143
Asymptotic Relative Efficiency
163
Robust Testing in Linear Models
177
LO MEstimates for Discrete
277
Weight Functions
315
Utility Routines
333
FORTRAN Sources
391
SPLUS Interface
401
HighLevel Routine for Bounded Influence
409
References
423
Index
429

High Breakdown Point Regression
199
Mixed Procedures
251

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