frobstepwise {gausscov}R Documentation

robust stepwise selection of covariates

Description

robust stepwise selection of covariates

Usage

frobstepwise(y, x, cn, alpha, nu = 1, kmax = 0, intercept = TRUE,
  chkintercept = FALSE, kexk = 0, sig = 0)

Arguments

y

Dependent variable

x

Covariates

cn

Parameter fir Huber's psi-function

alpha

The P-value cut-off

nu

The order statistic of Gaussian covariates used for comparison

kmax

The maximum number of included covariates

intercept

Logical to include intercept

chkintercept

Logical to include or exclude intercept dependent on the P-value

kexk

The excluded covariates

sig

Scale value of dependent variable

Value

pv pv[[1]] the included covariates, the P-values; pv[[2]] coefficients of robust linear regression; pv[[3]] residuals; pv[[4]] scale.

Examples

data(boston)
bostonrob<-frobstepwise(boston[,14],boston[,1:13],1,0.01,15,intercept=TRUE)
bostonrob[[1]]
bostonrob[[2]]
plot(bostonrob[[3]])

[Package gausscov version 0.0.2 Index]