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I just found "Robust Fitting of Linear Models" rlm() function in the MASS library.

I would like to know what is the difference between this function and the standard lm() (linear regression).

Could someone give me a short explanation?

Thank you

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migrated from stackoverflow.com Aug 1 '11 at 8:28

1 Answer

up vote 8 down vote

It is for robust linear models. It is describe in Venables & Ripley. However, details of the robust calculations would not fit in a "short answer": you need to look into several papers by Ripley, Tukey, and others.

Check out this paper by Ripley for more information: http://www.stats.ox.ac.uk/pub/StatMeth/Robust.pdf

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You can also see bits and pieces of the discussion in the relevant book (Venables and Ripley MASS) on Google books: books.google.com/… -- if you want the whole thing you need to buy the book or find it at the library ... very briefly, robust regression downweights the effects of outliers on the analysis. – Ben Bolker Jul 31 '11 at 19:20

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