Robustness in general refers to a statistic's insensitivity to deviations from its underlying assumptions (Huber and Ronchetti, 2009).

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When to use robust methods and how to report them in a paper?

Wilcox in his package WRS in R software managed to provide easily accessible robust techniques to conduct usual hypothesis testing like t-test, ANOVA etc. I've ...
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robust estimator when $\mu/\sigma$ is constant

I have a large set of measurements consisting each of about 100 points, (normally distributed), with up to 20% outliers. The outliers are all shifted towards positive values. From the physics, I know ...
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19 views

Robust correlation in python? [closed]

Is some kind of robust (especially to outliers) correlation methods easily available in python? I have a suspicion that outliers might be causing false positives in my data.
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How to choose t-distribution degrees of freedom in “robust” Bayesian linear models

It is well known that in both frequentist and Bayesian linear models, outliers can greatly influence the parameter estimates. Consider the simple example where one outcome variable, $y$, is predicted ...
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22 views

confidence intervals for cox proportional hazards with 0 events in one treatment arm

We are performing a multivariate cox proportional hazards analysis with 6 covariates. Two of the covariates (Pre_ASCT_response2 and NGS_graft_MRD2) are binary covariates with 0 events in one ...
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18 views

Inflated Type 1 error in glmer (for main effect but not interaction?)

I am doing simulations of type 1 error, power, and power' (power corrected for anti conservativity) for research on a specific application of (g)lmer, namely to small-N designs of longitudinal ...
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16 views

Should I check control variables for robustness?

I am working with count data and using a negative binomial regression. I have 3 core independent variables and control variables (age,education and sex). But the problem is that I have 8 age groups ...
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15 views

how can I calculate type one error rate?

how can I calculate type one error rate ? my study on robust estimators I search for calculating type one error to compare I found several article for that but no one explain how
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27 views

Fixed effects robust X random effects

I'm new to econometrics and Stata and I need some help. I'm trying to estimate a panel data model and I'm would like how to compare a robust fixed effects and a random effects model in Stata. I'm ...
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16 views

Correlation robust to outliers

I am concerned with Pearson correlation. My idea is to throw away the outliers in terms of absolute value, as it seems appropriate to my case. However, I don't know if I should do it only according to ...
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68 views

Correlation values aren't significant but the coefficients of regression are

I ran a regression model between X and y. I used robust regression. The results are significant, but when I ran a Pearson correlation I found that the correlation values aren't significant. I don't ...
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41 views

How to check the number of outliers in my data?

I have multivariate data and want to check for outliers. I guess there are both outliers in the predictor variables and the dependent variable. My idea was to fit robust regression methods after ...
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24 views

Robust regression and singular error

I got this error message from a robust regression in r ; "'x' is singular: singular fits are not implemented in 'rlm'" I could solve it by removing some variables. My question is , can i progrom r ...
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19 views

Feature selection for linear regression using bootstrapped RMSE as criteria

I'm trying to build robust linear regression model (lmrob from robustbase) using several (< 15) features. I know that traditional stepwise algorithms aren't the best alternative since they are ...
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13 views

A robust version of AIC using S-estimators

Again a special question concerning a paper about robust versions of the AIC: Robust versions of AIC. I am trying to implement the AIC.S criterion described on page 7. This should be no problem ...
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73 views

Huber loss prior in Bayesian context

Gaussian prior in Bayesian setting is equivalent to minimizing squared error, while Laplace prior minimizes the absolute error and leads to lasso regression. What (if any) prior distribution can be ...
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22 views

AIC for S-estimation: A robust version of the AIC

I have got a very special question according an interesting paper about robust versions of the AIC. You find the paper here: Robust AIC In the paper there are a few modified robust criterions ...
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71 views

AIC or BIC for robust regression?

I want to fit a robust regression method to my data because there are some outliers that might influence the estimates too much. Now my question: Are criterions like AIC or BIC still useful for robust ...
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52 views

Forward selection with BIC for robust regression methods?

I want to fit a robust linear model to my data using the rlm function in R. Is there any function that provides forward model ...
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Theil–Sen estimator in R with more than one variable? [duplicate]

Can Theil-Sen be defined for multiple linear regression? If so, is there an implementation in R for it? I simply want a formula a~b+c, but the package ...
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51 views

How to decide on Theil-Sen outliers?

After using the Theil-Sen estimator to obtain a robust linear regression (in my case 2D), I would like to decide on a set of outlier points. Is there a natural way to do this given the Theil-Sen ...
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185 views

why does R rlm {MASS} return different coefficients almost each time it is called?

I'm noticed that the rlm {MASS} returns almost every time different coefficients, even though I'm using the same parameters and the same data set I'm calling: ...
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10 views

Obtaining estimates and SE/CIs for a robust mixed design ANOVA

I have a two-way mixed design ANOVA with one between groups factor with two levels and one within groups factor with three levels. I have used robust methods outlined by Wilcox as my data was not ...
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63 views

Understanding a proof

The following is a proof of the existence of M-estimates from the book of Maronna et al. "Robust Statistics". While I understand their strategy, I am having trouble comprehending a step on their ...
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65 views

Robustness Weights in LOESS behaving strangely

I've been playing around with writing my own LOESS module in Python (2 reasons: first, I wanted the practice, and second, the implementation in statsmodels doesn't ...
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Presence of Heteroskedasticity, Robust Standard Errors - Stata

I have a panel of 49 observations, 7 countries, 7 years, running Panel fixed effects and IV fixed effects on Stata. I have used the modified Wald test to test for the presence of heteroskedasticity p ...
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121 views

Removing outliers and calculating percentiles with highly variable data

I want to be able to rank and get percentiles for groups of scores from a range of organisations. These percentiles will be used to judge other organisations. The organisation's scores are an average ...
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101 views

how we can prove we have outliers in the results?

I'm working on a model for publishing in a journal. I'm removing outliers from results of my models. Suppose that I have 100 trained neural network, inserting out-of-sample data to these models and ...
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14 views

How to make an estimate or predictor more robust

for normal time series data where you try to predict the next time interval, what are some ways to make the estimate more robust? Things that come to mind are increasing n (increase sample size), ...
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94 views

Estimating equation for power divergences

The inference based on minimizing the power divergence $$D_{\lambda}(g\|f) = \frac{1}{\lambda - 1} \log \int g^{\lambda} f^{1-\lambda} dx$$ is known to be robust against outliers for $\lambda <1$. ...
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24 views

M-Estimation with Biases

I am currently trying to solve an m-estimation problem with a bias component. To illustrate, I will use a quick example. Let's say you have a laser range finder at position $x$ and a wall at position ...
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36 views

A robust two-way repeated-measures anova in R?

Does anyone know whether it is possible to conduct a non-parametric/robust variant of a two-way repeated-measures anova in R? I can only find a variant of the one-way repeated-measures anova ...
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63 views

determine constant for biweight (bisquare) function

In robust statistics a biweight (bisquare) function is defined as follows $$\rho \left( x \right) = \gamma\left( {1 - {{\left( {1 - {{\left( {\frac{x}{c}} \right)}^2}} \right)}^3}} ...
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Does it make sense to do PCA after robust PCA?

I was wondering whether it makes sense to do PCA after robust PCA. Suppose I have a matrix $X$ and if I do robust PCA I would get: $$X=A+E$$ And if I do PCA over $A$ would this make sense as a ...
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74 views

How are coefficients & SEs estimated using OLS?

I am looking for a detailed explanation of how to estimate coefficients and their standard errors in multiple regression using OLS. I am struggling to develop a vba code to estimate robust standard ...
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When do improper linear models get robustly beautiful?

Improper linear models are described from time to time in the literature. In general, such models can be described as $$ y = a + b \sum_i w_i x_i + \varepsilon $$ what makes them different from ...
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Need help understanding this algorithm for a robust estimator for Geom. dist

I am trying to figure out a way to estimate the parameter for a Geometric distribution, using a random sample that is influenced by outliers. Searching through previous questions/answers, I saw this: ...
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77 views

Post hoc test for robust 3 way ANOVA

I am doing a 3x2x2 between subject study. To make thing simple, I name my variables as A, B and C here. Using the WRS 2 package in R, I have gotten results for the ...
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26 views

Robust Estimators - Winsorized Variance degree of freedom (df)

this is my first question on this site. So, I'm currently working on my final year thesis, and it was on Robust statistics. In my work, I will use Trimmed Mean, Winsorized Mean and Winsorized ...
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50 views

3way between subjects Anova with Unbalanced samples

I would like to perform robust 3-way ANOVA using the WRS package in R. The very first requirement is to cast the data into wide format. Hence, I have wide format data frame with unbalanced rows in ...
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56 views

Calculating and plotting confidence interval for Theil-Sen estimator

I'm using Wilcox's R functions (specifically, regplot) to plot a Theil-Sen estimator with a single predictor. However, regplot ...
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282 views

How to select the 'best' trim value for the mean function?

I'm experimenting with the trim parameter to the mean function, E.g. ...
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Experimental Design Optimal allocation to treatment

I have trying to design an pre-post study on the effectiveness of a particular media platform in inducing behavior change. The 700 households are distributed in 6 geographical clusters. They have ...
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283 views

Text mining: Robust correlation or similarity measures

I'm currently using word_cor function (qdap package). I observed that the function is not robust as it implements Pearson, Spearman and Kendall measures only: non-occurrence of both words (in the ...
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53 views

Changes in F-value of instrument

I am using 2SLS to estimate the effect of education on the probability that one works. In the first stage I regress education on my instrument and the other exogenous control variables. The same ...
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222 views

Looking for a robust, distribution-free/nonparametric distance between multivariate samples

There are many distance functions for distributions out there, but I'm having a hard time wading through them all to find one that is "distribution-free", or "nonparametric", by which I mean only ...
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76 views

How to downweigh outlier in a sum?

I have a simple problem. Assume following dataset: resids <- c(,9,8,7,12,14,8,9,15,4,9,10,200) n <- length(resids) p <- 2 Using this dataset I want to ...
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39 views

Comparing fixed effects regression and robust regression

I have panel data on countries' renewable energy net generation (and installed capacity) over time. I am regressing these dependent variables on various socioeconomic variables, as well as binary ...
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47 views

Testing robustness of a model glmmadmb

I would like to test the robustness of a model I made, as the summary does not feel understandable enough to me. Let me explain: I have a large dataset of conflicts with bears in Slovenia, and I ...