R Functions for Robust Statistics

Documentation for package ‘robeth’ version 2.7-6

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A B C D E F G H I K L M N P Q R S T U V W X Z

robeth-package

Interface for the FORTRAN programs developed at the ETH-Zuerich and then at IUMSP-Lausanne

-- A --

addc	Adds a column vector to a transformed design matrix and updates its QR-decomposition
airef0	Asymptotic relative efficiency of a general M-estimate for a model with mu quantitative covariates with or without a constant term
airefq	Asymptotic relative efficiency of a general M-estimate for a model with mu quantitative and nu qualitative covariates

-- B --

binprd

Binomial probability distribution

-- C --

cerf	Complemented error function (single precision)
cerfd	Complemented error function (double precision)
cfrcov	Computation of fC.fC.inv(AT A) for a given matrix A and scale factor fC
Chi	Chi weight function for location and regression
chi	Chi weight function for location and regression
chisq	Cumulative Chi-square distribution function
cia2b2	Determination of the parameters a2 and b2 of the Huber weight function from the proportion eps of contamination
cibeat	Determination of the parameter d of the Huber weight function
cicloc	Determination of the parameter c of the Huber weight function from the proportion eps of contamination
cifact	Determination of the correction factor for the M-estimate based on Huber weight function
cimedv	Initial values for the iterative algorithms implemented in CYFALG, CYNALG, and CYGALG
cirock	Initial values for the Rocke estimates of covariance
comval	Gives the current values ofthe parameters of the ROBETH subroutine common blocks
cquant	Inverse of the cumulative Chi2-distribution function
cyfalg	Fixed-point algorithm for the computation of an M-estimate of multivariate location and scatter
cygalg	Conjugate gradient algorithm for the computation of an M-estimate of multivariate location and scatter
cynalg	Newton-type algorithm for the computation of an M-estimate of multivariate location and scatter

-- D --

Dbinom	Diagonal matrix D for the binomial case in discrete GLM
dfcomn	Assigns values to the ROBETH parameters included in common blocks
dfrpar	Sets default parameters for regression estimates
dfvals	Provide default values for most scalar parameters used by the Robeth subroutines
dotp	Forms the scalar (dot) product of two vectors
dotpd	Forms the scalar (dot) product of two vectors (double precision)
dpoiss	Diagonal matrix D for the Poisson case in discrete GLM

-- E --

exch	Exchanges two columns of a symmetric matrix
exchd	Exchanges two columns of a symmetric matrix (double precision)

-- F --

fcum	Cumulative F-distribution function
Fn.Exp.f	Parametric estimate of survival cdf
fstord	Determination of the j-th order statistic

-- G --

gauss	Cumulative Gaussian distribution function
gaussd	Cumulative Gaussian distribution function (double precision)
gfedca	Diagonal matrices D_G and E_G
gintac	Initial values of theta, A and c_i,...,c_n
glmdev	The total deviance of the fitted generalizrd linear model
gyastp	Fixed-point algorithm for the A-step
gycstp	Newton-type algorithm for the c-step
gymain	Main algorithm
gytstp	Newton-type algorithm for the theta-step

-- H --

h12	Constructs and/or applies a single elementary Householder transformation
h12d	Constructs and/or applies a single elementary Householder transformation (double precision)
hylmse	Resampling algorithm for the computation of the LMS estimate
hyltse	Resampling algorithm for the computation of the LTS estimate
hysest	Resampling algorithm for the computation of S-estimates
hysestw	Resampling algorithm for the computation of weighted S-estimates

-- I --

ingama

Incomplete Gamma-integral function

-- K --

kfascv	Backtransformation of the covariance matrix of the coefficient estimates
kfedcb	Diagonal hat matrices D_M, E_M, D_S, and E_S
kfedcc	Diagonal 'check' matrices D_M, E_M, D_S, and E_S
kffacv	Correction factor f_H for the covariance matrix of a Huber-type estimate
kiascv	Covariance matrix of the coefficient estimates of the form f.inv(XT X) in the transformed coordinate system
kiedch	Diagonal matrices D_M, E_M, D_S, E_S when psi is the Huber function
kiedcu	Diagonal matrices D_M, E_M, D_S, E_S when psi is a user-supplied function
ktaskv	Covariance matrix of the coefficient estimates of the form f.inv(XT X)
ktaskw	Covariance matrix of the coefficient estimates of the form f.inv(S1) S2 inv(S1)

-- L --

lgama	Logarithm at the Gamma-function at the point x
libet0	Computation of Beta0 = Phi_inv(0.75)
libeth	Computation of Int Chi(s) dPhi(s) when Chi=Psi.Psi/2 and Psi is the Huber function
libetu	Computation of Int Chi(s) dPhi(s) when Chi is a user-supplied function
liclls	Classical estimates of mean and standard deviation
liepsh	Computation of Int Psi(s).Psi(s) dPhi(s) and Int Psi'(s) dPhi(s) when Psi is the Huber function
liepsu	Computation of Int Psi(s).Psi(s) dPhi(s) and Int Psi'(s) dPhi(s) when Psi is a user-supplied external function
liindh	Inverts the approximate null distribution of the one-sample Wilcoxon test statistic
liinds	Inverts the approximate null distribution of the sign test statistic
liindw	Inverts the approximate null distribution of the Mann-Whitney test statistic
lilars	Median an median absolute deviation
littst	t-test for the shift parameter
lmdd	Median and median absolute deviation
lrfctd	Computation of Li, li and lip
lyhalg	M-estimate of location with simultaneous estimation of scale
lyhdle	Hodges-Lehman estimate and confidence intervals for the center of symmetry based on the one-sample Wilcoxon test
lymnwt	Nonparametric estimate and confidence intervals for the shift parameter based on the Mann-Whitney test statistic
lytau2	tau-test for the shift parameter
lywalg	W-algorithm for M-estimate of location

-- M --

mchl	Cholesky decomposition of a symmetric matrix
mchld	Cholesky decomposition of a symmetric matrix (double precision)
messagena	Print a message when a required argument is missing
mff	Multiplies a full matrix by a full matrix
mffd	Multiplies a full matrix by a full matrix (double precision)
mfragr	Generation and comparison of all regressions on subsets of covariates
mfy	Multiplies a full matrix by a vector
mfyd	Multiplies a full matrix by a vector (double precision)
mhat	Computes the diagonal elements of the hat matrix
minv	Inverts a triangular matrix
minvd	Inverts a triangular matrix (double precision)
mirtsr	Computation of (robust) t-statistics for t-directed search
mly	Multiplies a lower-triangular matrix by a vector
mlyd	Multiplies a lower-triangular matrix by a vector (double precision)
msf	Multiplies a symmetric matrix by a full matrix
msf1	Multiplies a symmetric matrix by a full matrix when the result is a symmetric matrix
msf1d	Multiplies a symmetric matrix by a full matrix when the result is a symmetric matrix
msfd	Multiplies a symmetric matrix by a full matrix (double precision)
mss	Multiplies a symmetric matrix by a symmetric matrix
mssd	Multiplies a symmetric matrix by a symmetric matrix (double precision)
mtt1	Multiplies an upper-triangular matrix by its transpose
mtt1d	Multiplies an upper-triangular matrix by its transpose (double precision)
mtt2	Multiplies a lower-triangular matrix by its transpose
mtt2d	Multiplies a lower-triangular matrix by its transpose (double precision)
mtt3	Multiplies a triangular matrix by a triangular matrix
mtt3d	Multiplies a triangular matrix by a triangular matrix (double precision)
mty	Multiplies an upper-triangular matrix by a vector
mtyd	Multiplies an upper-triangular matrix by a vector
myhbhe	High breakdown point and high efficiency regression with test for bias
mymvlm	Simultaneous computation of the MVE and LMS estimates

-- N --

nlgm	Logarithm of the Gamma-function at the point n/2
nrm2	Forms the Euclidean norm of a vector
nrm2d	Forms the Euclidean norm of a vector (double precision)

-- P --

permc	Permutes the columns of a matrix by means of transpositions
permv	Permutes the elements of a vector
poissn	Poisson distribution
precd	Algorithmic determination of the smallest double precision positive number x
precs	Algorithmic determination of the smallest double precision positive number x
probst	Cumulative t-distribution function
Psi	psi weight function for location and regression
psi	psi weight function for location and regression
Psp	psi' weight function for location and regression
psp	psi' weight function for location and regression

-- Q --

QD2coef.f	Auxiliary function to find mu and sigma parameter for extended loggamma distribution
QD2funC.f	Auxiliary function to find lambda parameter for extended loggamma distribution
Qn.Exp.f	Auxiliary function to compute quantiles of survival cdf
quant	Inverse of the standard Gaussian cumulative distribution function

-- R --

Random	Uniform random number generator
Regtau.f	Auxiliary function for the computation of QQopt
RegtauW.f	Auxiliary function for the computation of QQopt
Rho	Rho weight function for location and regression
rho	rho weight function for location and regression
ribet0	Computation of the constant Beta0
ribeth	Computation of the constant Beta when Chi=Psi.Psi/2 and Psi is the Huber function
ribetu	Computation of the constant Beta when Chi is a user-supplied function
riclls	Solution of the least squares problem
rilars	Solution of the least absolute residual problem
rimtrd	Double precision version of RIMTRF
rimtrf	Upper triangularization (QR-decomposition) of the design matrix and determination of its pseudorank
rmvc	Removes a column from a transformed design matrix and updates its QR-decomposition
robeth	Interface for the FORTRAN programs developed at the ETH-Zuerich and then at IUMSP-Lausanne
ruben	Cumulative distribution and density function of a linear combination of chi-2 random variables
rybifr	Bounded influence regression
ryhalg	H-algorithm for M-estimates
rynalg	Newton algorithm with adaptive steps for M-estimates
rysalg	S-algorithm for M-estimates
rysigm	Iterative algorithm for the computation of an M-estimate of the scale parameter when the residuals are given
rywalg	W-algorithm for M-estimates

-- S --

scal	Scales a vector by a constant
scald	Scales a double precision vector by a constant
srt1	Sorts the components of a vector in ascending order
srt2	Sorts the components of a vector in ascending order and permutes the components of another vector accordingly
swap	Interchanges two vectors
swapd	Interchanges two vectors (double precision)

-- T --

tauare	Asymptotic relative efficiency of the tau-test
tfrn2t	Computes the Rn2-test statistic for a linear hypothesis in canonical form
tftaut	Computes the tau-test statistic for a linear hypothesis in canonical form
tisrtc	Permutes the columns of the design matrix: Predictors in omega are placed in the first q positions
to.character	Convert local variable to Fortran character
to.double	Convert local variable to Fortran double precision
to.integer	Convert local variable to Fortran integer
to.single	Convert local variable to Fortran single precision
tquant	Inverse of the cumulative t-distribution function
ttaskt	Computes the matrix Ktau
tteign	Computes the eigenvalues of the matrix Ktau

-- U --

Ucv	u weight function for covariances
ucv	u weight function for covariances
ugl	ub weight function for M-estimates in GLM
Upcv	u' weight function for covariances
upcv	u' weight function for covariances
userfd	Dummy u user function (double precision)
userfs	Dummy u user function

-- V --

vcv	v weight function for covariances
vpcv	v' weight function for covariances

-- W --

Wcv	w weight function for covariances
wcv	v weight function for covariances
wfshat	Schweppe original weight proposal
wimedv	Initial value of the matrix A
Wpcv	w' weight function for covariances
wpcv	w' weight function for covariances
Www	w weight function for covariances
www	w weight function
wyfalg	Fixed-point algorithm for the computation of the matrix A
wyfcol	Modified fixed-point algorithm for collinear data in the standardized case
wygalg	Conjugate gradient algorithm for the computation of the lower-triangular matrix A in the standardized case
wynalg	Newton-Huber algorithm for the computation of the lower-triangular matrix A in the standardized case

-- X --

xerf	Gaussian density function
xerp	Density of the norm of a standard Gaussian vector with p components
xsy	Evaluates a quadratic form
xsyd	Evaluates a quadratic form (double precision)

-- Z --

zemll

Zeng method for censored data