huber2 {VGAM} | R Documentation

## Huber's Least Favourable Distribution Family Function

### Description

M-estimation of the two parameters of Huber's least favourable distribution. The one parameter case is also implemented.

### Usage

    huber1(llocation = "identitylink", k = 0.862, imethod = 1)
    huber2(llocation = "identitylink", lscale = "loglink",
           k = 0.862, imethod = 1, zero = "scale")

### Arguments

`llocation, lscale` | Link functions applied to the location and scale parameters. See `Links` for more choices.
`k` | Tuning constant. See `rhuber` for more information.
`imethod, zero` | See `CommonVGAMffArguments` for information. The default value of `zero` means the scale parameter is modelled as intercept-only.

### Details

Huber's least favourable distribution family function is popular for resistant/robust regression. The center of the distribution is normal and its tails are double exponential.

By default, the mean is the first linear/additive predictor (returned as the fitted values; this is the location parameter), and the log of the scale parameter is the second linear/additive predictor. The Fisher information matrix is diagonal; Fisher scoring is implemented.

The VGAM family function `huber1()` estimates only the location parameter. It assumes a scale parameter of unit value.

### Value

An object of class `"vglmff"` (see `vglmff-class`). The object is used by modelling functions such as `vglm`, and `vgam`.

### Note

Warning: actually, `huber2()` may be erroneous since the first derivative is not continuous when there are two parameters to estimate. `huber1()` is fine in this respect.

The response should be univariate.

### Author(s)

T. W. Yee. Help was given by Arash Ardalan.

### References

Huber, P. J. and Ronchetti, E. (2009) Robust Statistics, 2nd ed. New York: Wiley.

### See Also

`rhuber`, `uninormal`, `laplace`, `CommonVGAMffArguments`.

### Examples

    set.seed(1231); NN <- 30; coef1 <- 1; coef2 <- 10
    hdata <- data.frame(x2 = sort(runif(NN)))
    hdata <- transform(hdata, y  = rhuber(NN, mu = coef1 + coef2 * x2))

    hdata$x2[1] <- 0.0  # Add an outlier
    hdata$y[1] <- 10

    fit.huber2 <- vglm(y ~ x2, huber2(imethod = 3), data = hdata, trace = TRUE)
    fit.huber1 <- vglm(y ~ x2, huber1(imethod = 3), data = hdata, trace = TRUE)

    coef(fit.huber2, matrix = TRUE)
    summary(fit.huber2)

    ## Not run:  # Plot the results
    plot(y ~ x2, data = hdata, col = "blue", las = 1)
    lines(fitted(fit.huber2) ~ x2, data = hdata, col = "darkgreen", lwd = 2)

    fit.lm <- lm(y ~ x2, hdata)  # Compare to a LM:
    lines(fitted(fit.lm) ~ x2, data = hdata, col = "lavender", lwd = 3)

    # Compare to truth:
    lines(coef1 + coef2 * x2 ~ x2, data = hdata, col = "orange", lwd = 2, lty = "dashed")

    legend("bottomright", legend = c("truth", "huber", "lm"),
           col = c("orange", "darkgreen", "lavender"),
           lty = c("dashed", "solid", "solid"), lwd = c(2, 2, 3))
    ## End(Not run)

[Package VGAM version 1.1-1 Index]