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\name{Mpsi}
\title{Psi / Chi / Wgt / Rho Functions for *M-Estimation}
\alias{Mchi}
\alias{Mpsi}
\alias{Mwgt}
\alias{MrhoInf}
\alias{.Mchi}
\alias{.Mpsi}
\alias{.Mwgt}
\alias{.Mwgt.psi1}
\alias{.MrhoInf}
\alias{.psi2ipsi}
\alias{.regularize.Mpsi}
\description{
Compute Psi / Chi / Wgt / Rho functions for M-estimation,
i.e., including MM, etc. For definitions and details, please use the
vignette \href{https://cran.r-project.org/package=robustbase/vignettes/psi_functions.pdf}{%
\dQuote{\eqn{\psi}{psi}-Functions Available in Robustbase}}.
\code{MrhoInf(x)} computes \eqn{\rho(\infty)}{rho(Inf)}, i.e., the
normalizing or scaling constant for the transformation
from \eqn{\rho(\cdot)}{rho(.)} to
\eqn{\tilde\rho(\cdot)}{rho~(.)}, where the latter, aka as
\eqn{\chi()}{chi()} fulfills \eqn{\tilde\rho(\infty) = 1}{rho~(Inf) = 1}
which makes only sense for \dQuote{redescending} psi functions, i.e.,
not for \code{"huber"}.
\code{Mwgt(x, *)} computes \eqn{\psi(x)/x} (fast and numerically accurately).
}
\usage{
Mpsi(x, cc, psi, deriv = 0)
Mchi(x, cc, psi, deriv = 0)
Mwgt(x, cc, psi)
MrhoInf(cc, psi)
.Mwgt.psi1(psi, cc = .Mpsi.tuning.default(psi))
.regularize.Mpsi(psi, redescending = TRUE)
}
\arguments{
\item{x}{numeric (\dQuote{abscissa} values) vector, possibly with
\code{\link{attributes}} such as \code{\link{dim}} or
\code{\link{names}}, etc. These are preserved for the
\code{M*()} functions (but not the \code{.M()} ones).}
\item{cc}{numeric tuning constant, for some \code{psi} of length
\eqn{> 1}.}
\item{psi}{a string specifying the psi / chi / rho / wgt function;
either \code{"huber"}, or one of the same possible specifiers as for
\code{psi} in \code{\link{lmrob.control}}, i.e. currently,
\code{"bisquare"}, \code{"lqq"}, \code{"welsh"}, \code{"optimal"},
\code{"hampel"}, or \code{"ggw"}.}
\item{deriv}{an integer, specifying the \emph{order} of derivative to
consider; particularly, \code{Mpsi(x, *, deriv = -1)} is the
principal function of \eqn{\psi()}{psi()}, typically denoted
\eqn{\rho()}{rho()} in the literature. For some psi functions,
currently \code{"huber"}, \code{"bisquare"}, \code{"hampel"}, and \code{"lqq"},
\code{deriv = 2} is implemented, for the other psi's only
\eqn{d \in \{-1,0,1\}}{d in {-1,0,1\}}.}}
\item{redescending}{logical indicating in \code{.regularize.Mpsi(psi,.)}
if the \code{psi} function is redescending.}
}
\details{
Theoretically, \code{Mchi()} would not be needed explicitly as it can be computed
from \code{Mpsi()} and \code{MrhoInf()}, namely, by
\preformatted{Mchi(x, *, deriv = d) == Mpsi(x, *, deriv = d-1) / MrhoInf(*)}
for \eqn{d = 0, 1, 2} (and \sQuote{*} containing \code{par, psi}, and
equality is in the sense of \code{\link{all.equal}(x,y, tol)} with a
small \code{tol}.
Similarly, \code{Mwgt} would not be needed strictly, as it could be
defined via \code{Mpsi}), but the explicit definition takes care of
0/0 and typically is of a more simple form.
For experts, there are slightly even faster versions,
\code{.Mpsi()}, \code{.Mwgt()}, etc.
\code{.Mwgt.psi1()} mainly a utility for \code{\link{nlrob}()},
returns a \emph{\code{\link{function}}} with similar semantics as
\code{\link[MASS]{psi.hampel}}, \code{\link[MASS]{psi.huber}}, or
\code{\link[MASS]{psi.bisquare}} from package \CRANpkg{MASS}. Namely,
a function with arguments \code{(x, deriv=0)}, which for
\code{deriv=0} computes \code{Mwgt(x, cc, psi)} and otherwise computes
\code{Mpsi(x, cc, psi, deriv=deriv)}.
\code{.Mpsi()}, \code{.Mchi()}, \code{.Mwgt()}, and \code{.MrhoInf()} are
low-level versions of
\code{Mpsi()}, \code{Mchi()}, \code{Mwgt()}, and \code{MrhoInf()}, respectively,
and \code{.psi2ipsi()} provides the psi-function integer codes needed
for \code{ipsi} argument of the \code{.M*()} functions.
For \code{psi = "ggw"}, the \eqn{\rho()}{rho()} function has no closed
form and must be computed via numerical integration, apart from 6
special cases including the defaults, see the \sQuote{Details} in
\code{help(\link{.psi.ggw.findc})}.
\code{.Mpsi.regularize()} may (rarely) be used to regularize a psi function.
}
\value{
a numeric vector of the same length as \code{x}, with corresponding
function (or derivative) values.
}
\references{
See the vignette about %% ../vignettes/psi_functions.Rnw :
\dQuote{\eqn{\psi}{psi}-Functions Available in Robustbase}.
}
\author{
Manuel Koller, notably for the original C implementation;
tweaks and speedup via \code{\link{.Call}} and \code{.M*()} etc by
Martin Maechler.
}
\seealso{
\code{\link{psiFunc}} and the \code{\linkS4class{psi_func}} class, both
of which provide considerably more on the \R side, but are less
optimized for speed.
\code{\link{.Mpsi.tuning.defaults}}, etc, for tuning constants'
defaults for\code{lmrob()}, and \code{\link{.psi.ggw.findc}()}
utilities to construct such constants' vectors.
}
\examples{
x <- seq(-5,7, by=1/8)
matplot(x, cbind(Mpsi(x, 4, "biweight"),
Mchi(x, 4, "biweight"),
Mwgt(x, 4, "biweight")), type = "l")
abline(h=0, v=0, lty=2, col=adjustcolor("gray", 0.6))
hampelPsi
(ccHa <- hampelPsi @ xtras $ tuningP $ k)
psHa <- hampelPsi@psi(x)
% FIXME: interesting as long as hampelPsi does not use Mpsi(... "hampel") !
## using Mpsi():
Mp.Ha <- Mpsi(x, cc = ccHa, psi = "hampel")
stopifnot(all.equal(Mp.Ha, psHa, tolerance = 1e-15))
psi.huber <- .Mwgt.psi1("huber")
if(getRversion() >= "3.0.0")
stopifnot(identical(psi.huber, .Mwgt.psi1("huber", 1.345),
ignore.env=TRUE))
curve(psi.huber(x), -3, 5, col=2, ylim = 0:1)
curve(psi.huber(x, deriv=1), add=TRUE, col=3)
## and show that this is indeed the same as MASS::psi.huber() :
x <- runif(256, -2,3)
stopifnot(all.equal(psi.huber(x), MASS::psi.huber(x)),
all.equal( psi.huber(x, deriv=1),
as.numeric(MASS::psi.huber(x, deriv=1))))
## and how to get MASS::psi.hampel():
psi.hampel <- .Mwgt.psi1("Hampel", c(2,4,8))
x <- runif(256, -4, 10)
stopifnot(all.equal(psi.hampel(x), MASS::psi.hampel(x)),
all.equal( psi.hampel(x, deriv=1),
as.numeric(MASS::psi.hampel(x, deriv=1))))
## "lqq" / "LQQ" and its tuning constants:
ctl0 <- lmrob.control(psi = "lqq", tuning.psi=c(-0.5, 1.5, 0.95, NA))
ctl <- lmrob.control(psi = "lqq", tuning.psi=c(-0.5, 1.5, 0.90, NA))
ctl0$tuning.psi ## keeps the vector _and_ has "constants" attribute:
## [1] -0.50 1.50 0.95 NA
## attr(,"constants")
## [1] 1.4734061 0.9822707 1.5000000
ctl$tuning.psi ## ditto:
## [1] -0.5 1.5 0.9 NA \\ .."constants" 1.213726 0.809151 1.500000
stopifnot(all.equal(Mpsi(0:2, cc = ctl$tuning.psi, psi = ctl$psi),
c(0, 0.977493, 1.1237), tol = 6e-6))
x <- seq(-4,8, by = 1/16)
## Show how you can use .Mpsi() equivalently to Mpsi()
stopifnot(all.equal( Mpsi(x, cc = ctl$tuning.psi, psi = ctl$psi),
.Mpsi(x, ccc = attr(ctl$tuning.psi, "constants"),
ipsi = .psi2ipsi("lqq"))))
stopifnot(all.equal( Mpsi(x, cc = ctl0$tuning.psi, psi = ctl0$psi, deriv=1),
.Mpsi(x, ccc = attr(ctl0$tuning.psi, "constants"),
ipsi = .psi2ipsi("lqq"), deriv=1)))
## M*() preserving attributes :
x <- matrix(x, 32, 8, dimnames=list(paste0("r",1:32), col=letters[1:8]))
comment(x) <- "a vector which is a matrix"
px <- Mpsi(x, cc = ccHa, psi = "hampel")
stopifnot(identical(attributes(x), attributes(px)))
## The "optimal" psi exists in two versions "in the litterature": ---
## Maronna et al. 2006, 5.9.1, p.144f:
psi.M2006 <- function(x, c = 0.013)
sign(x) * pmax(0, abs(x) - c/dnorm(abs(x)))
## and the other is the one in robustbase from 'robust': via Mpsi(.., "optimal")
## Here are both for 95\% efficiency:
(c106 <- .Mpsi.tuning.default("optimal"))
c1 <- curve(Mpsi(x, cc = c106, psi="optimal"), -5, 7, n=1001)
c2 <- curve(psi.M2006(x), add=TRUE, n=1001, col=adjustcolor(2,0.4), lwd=2)
abline(0,1, v=0, h=0, lty=3)
## the two psi's are similar, but really quite different
## a zoom into Maronna et al's:
c3 <- curve(psi.M2006(x), -.5, 1, n=1001); abline(h=0,v=0, lty=3);abline(0,1, lty=2)
}
\keyword{robust}
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