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### FIXME:
### ----- MM wants to change
### 3) allow the 'control' entries to enter via "..." as well -- Done
### 4) lmrob() should really behave like lm() {in R; not S !}
### --> 'subset' etc -- Done
### 5) There are still quite a few things hard-coded in ../src/lmrob.c
### E.g., 'nResample' is used, but MAX_NO_RESAMPLES = 500 cannot be changed.
### 6) Use ' method = "MM" ' and a general scheme for "plugin" of other estimators!!
### The first part of lmrob() much cut'n'paste from lm() - on purpose!
lmrob <-
function(formula, data, subset, weights, na.action,
model = TRUE, x = !control$compute.rd, y = FALSE,
singular.ok = TRUE, contrasts = NULL, offset = NULL,
control = lmrob.control(...), ...)
{
ret.x <- x
ret.y <- y
cl <- match.call()
mf <- match.call(expand.dots = FALSE)
m <- match(c("formula", "data", "subset", "weights", "na.action", "offset"),
names(mf), 0)
mf <- mf[c(1, m)]
mf$drop.unused.levels <- TRUE
mf[[1]] <- as.name("model.frame")
mf <- eval(mf, parent.frame())
mt <- attr(mf, "terms") # allow model.frame to update it
y <- model.response(mf, "numeric")
w <- model.weights(mf)
offset <- model.offset(mf)
if(!is.null(offset) && length(offset) != NROW(y))
stop(gettextf("number of offsets is %d, should equal %d (number of observations)",
length(offset), NROW(y)), domain = NA)
if (is.empty.model(mt)) {
x <- NULL
z <- list(coefficients = if (is.matrix(y)) matrix(,0,3) else numeric(0),
residuals = y, fitted.values = 0 * y,
cov = matrix(,0,0), weights = w, rank = 0,
df.residual = NROW(y), converged = TRUE)
if(!is.null(offset)) z$fitted.values <- offset
}
else {
x <- model.matrix(mt, mf, contrasts)
if (!singular.ok)
warning("only 'singular.ok = TRUE' is currently implemented.")
if (!is.null(w))
stop("Weights are not yet implemented for this estimator")
if(!is.null(offset))
stop("'offset' not yet implemented for this estimator")
z <- lmrob.fit.MM(x, y, control = control)
nc <- names(z$coef)
dimnames(z$cov) <- list(nc,nc)
}
class(z) <- "lmrob"
z$na.action <- attr(mf, "na.action")
z$offset <- offset
z$contrasts <- attr(x, "contrasts")
z$xlevels <- .getXlevels(mt, mf)
z$call <- cl
z$terms <- mt
if(control$compute.rd && !is.null(x))
z$MD <- robMD(x, attr(mt, "intercept"))
if (model)
z$model <- mf
if (ret.x)
z$x <- x
if (ret.y)
z$y <- y
z$control <- control
z
}
## internal function, used in lmrob() and maybe plot.lmrob()
robMD <- function(x, intercept, ...) {
if(intercept == 1) x <- x[, -1, drop=FALSE]
if(ncol(x) >= 1) {
rob <- covMcd(x, ...)
sqrt( mahalanobis(x, rob$center, rob$cov) )
}
}
print.lmrob <- function(x, digits = max(3, getOption("digits") - 3), ...)
{
cat("\nCall:\n", deparse(x$call), "\n\n", sep = "")
if(length((cf <- coef(x)))) {
if( x$converged )
cat("Coefficients:\n")
else
cat("Algorithm did not converge\n\n",
"Coefficients of the *initial* S-estimator:\n")
print(format(coef(x), digits = digits), print.gap = 2, quote = FALSE)
} else cat("No coefficients\n")
cat("\n")
invisible(x)
}
vcov.lmrob <- function (object, ...) { object$cov }
## residuals.default works for "lmrob" {unless we'd allow re-weighted residuals
## fitted.default works for "lmrob"
## This seems to work - via lm
model.matrix.lmrob <- function (object, ...) {
stats::model.matrix.lm(object, ...)
}
## learned from MASS::rlm() : via "lm" as well
predict.lmrob <- function (object, newdata = NULL, scale = NULL, ...)
{
class(object) <- c(class(object), "lm")
object$qr <- qr(sqrt(object$weights) * object$x)
predict.lm(object, newdata = newdata, scale = object$s, ...)
}
summary.lmrob <- function(object, correlation = FALSE, symbolic.cor = FALSE, ...)
{
if (is.null(object$terms))
stop("invalid 'lmrob' object: no terms component")
p <- object$rank
df <- object$degree.freedom
if (p > 0) {
n <- p + df
se <- sqrt(diag(object$cov))
est <- object$coefficients
tval <- est/se
ans <- object[c("call", "terms", "residuals", "scale", "weights",
"converged", "iter", "control")]
ans$df <- df
ans$coefficients <-
if( ans$converged )
cbind(est, se, tval, 2 * pt(abs(tval), df, lower.tail = FALSE))
else cbind(est, NA, NA, NA)
dimnames(ans$coefficients) <-
list(names(est), c("Estimate", "Std. Error", "t value", "Pr(>|t|)"))
ans$cov.unscaled <- object$cov
dimnames(ans$cov.unscaled) <- dimnames(ans$coefficients)[c(1,1)]
if (correlation) {
ans$correlation <- ans$cov.unscaled / outer(se, se)
ans$symbolic.cor <- symbolic.cor
}
} else { ## p = 0: "null model"
ans <- object
ans$coefficients <- matrix(, 0, 4)
ans$df <- df
ans$cov.unscaled <- object$cov
}
class(ans) <- "summary.lmrob"
ans
}
print.summary.lmrob <-
function (x, digits = max(3, getOption("digits") - 3),
symbolic.cor = x$symbolic.cor,
signif.stars = getOption("show.signif.stars"), ...)
{
cat("\nCall:\n")
cat(paste(deparse(x$call), sep = "\n", collapse = "\n"),
"\n\n", sep = "")
resid <- x$residuals
df <- x$df
##df
cat(if (!is.null(x$w) && diff(range(x$w))) "Weighted ",
"Residuals:\n", sep = "")
if (df > 5) {
nam <- c("Min", "1Q", "Median", "3Q", "Max")
if (NCOL(resid) > 1)
rq <- structure(apply(t(resid), 1, quantile),
dimnames = list(nam, dimnames(resid)[[2]]))
else rq <- structure(quantile(resid), names = nam)
print(rq, digits = digits, ...)
}
else print(resid, digits = digits, ...)
if( length(x$coef) ) {
if( !(x$converged) ) {
cat("\nAlgorithm did not converge\n")
cat("\nCoefficients of *initial* S-estimator:\n")
printCoefmat(x$coef, digits = digits, signif.stars = signif.stars,
...)
} else {
cat("\nCoefficients:\n")
printCoefmat(x$coef, digits = digits, signif.stars = signif.stars,
...)
cat("\nRobust residual standard error:",
format(signif(x$scale, digits)),"\n")
correl <- x$correlation
if (!is.null(correl)) {
p <- NCOL(correl)
if (p > 1) {
cat("\nCorrelation of Coefficients:\n")
if (is.logical(symbolic.cor) && symbolic.cor) {
print(symnum(correl), abbr.col = NULL)
}
else { correl <- format(round(correl, 2), nsmall = 2,
digits = digits)
correl[!lower.tri(correl)] <- ""
print(correl[-1, -p, drop = FALSE], quote = FALSE)
}
}
}
cat("Convergence in", x$iter, "IRWLS iterations\n")
}
cat("\n")
summarizeRobWeights(x$weights, digits = digits, ...)
} else cat("\nNo Coefficients\n")
printControl(x$control, digits = digits)
invisible(x)
}
## hidden in namespace
printControl <-
function(ctrl, digits = getOption("digits"),
str.names = "seed",
header = "Algorithmic parameters:",
...)
{
## Purpose: nicely and sensibly print a 'control' structure
## currently for lmrob(), glmrob()
## Author: Martin Maechler, Date: 31 May 2006
PR <- function(LST, ...) if(length(LST)) print(unlist(LST), ...)
cat(header,"\n")
is.str <- (nc <- names(ctrl)) %in% str.names
is.ch <- sapply(ctrl, is.character)
real.ctrl <- sapply(ctrl, function(x)
length(x) > 0 && is.numeric(x) && x != round(x))
PR(ctrl[!is.str & real.ctrl], digits = digits, ...)
## non-real, non-char ones (typically integers), but dropping 0-length ones
PR(ctrl[!is.str & !is.ch & !real.ctrl], ...)
## char ones
PR(ctrl[!is.str & is.ch], ...)
if(any(is.str))
for(n in nc[is.str]) {
cat(n,":")
str(ctrl[[n]], vec.len = 2)
## 'vec.len = 2' is smaller than normal, but nice for Mersenne seed
}
}
summarizeRobWeights <-
function(w, digits = getOption("digits"), header = "Robustness weights:",
eps = 0.1 / length(w), eps1 = 1e-3, ...)
{
## Purpose: nicely print a "summary" of robustness weights
stopifnot(is.numeric(w))
cat(header,"\n")
cat0 <- function(...) cat('', ...)
n <- length(w)
if(n <= 10) print(w, digits = digits, ...)
else {
n1 <- sum(w1 <- abs(w - 1) < eps1)
n0 <- sum(w0 <- abs(w) < eps)
if(any(w0 & w1))
warning("weights should not be both close to 0 and close to 1!\n",
"You should use different 'eps' and/or 'eps1'")
if(n0 > 0 || n1 > 0) {
if(n0 > 0) {
formE <- function(e) formatC(e, digits = max(2, digits-3), width=1)
i0 <- which(w0)
maxw <- max(w[w0])
c3 <- paste("with |weight| ",
if(maxw == 0) "= 0" else paste("<=", formE(maxw)),
" ( < ", formE(eps), ");", sep='')
cat0(if(n0 > 1) {
cc <- sprintf("%d observations c(%s)",
n0, strwrap(paste(i0, collapse=",")))
c2 <- " are outliers"
paste(cc,
if(nchar(cc)+ nchar(c2)+ nchar(c3) > getOption("width"))
"\n ", c2, sep='')
} else
sprintf("observation %d is an outlier", i0),
c3, "\n")
}
if(n1 > 0)
cat0(ngettext(n1, "one weight is",
sprintf("%s%d weights are",
if(n1 == n)"All " else '', n1)), "~= 1.")
n.rem <- n - n0 - n1
if(n.rem <= 0) { # < 0 possible if w0 & w1 overlap
if(n1 > 0) cat("\n")
return(invisible())
}
cat0("The remaining",
ngettext(n.rem, "one", sprintf("%d ones", n.rem)), "are")
if(is.null(names(w)))
names(w) <- as.character(seq(along = w))
w <- w[!w1 & !w0]
if(n.rem <= 10) {
cat("\n")
print(w, digits = digits, ...)
return(invisible())
}
else cat(" summarized as\n")
}
print(summary(w, digits = digits), digits = digits, ...)
}
}
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