Timeline for What's the difference between statsmodels' RLM and robustbase's glmrob?
Current License: CC BY-SA 4.0
5 events
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| Sep 16, 2022 at 14:20 | comment | added | Josef |
My answer was about main difference between statsmodels RLM and Cantoni Ronchetti. I don't know how glmrob computes the scale (residual variance) for Gaussian and Gamma families. Default in RLM is MAD.
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| Sep 16, 2022 at 9:16 | comment | added | pytony |
The default value of weights.on.x is "none" according to the documentation, so x-outliers shouldn't be downweighted at all unless otherwise specified by the user, right? This puzzles me because, as I said in my original post, the results of glmrob do differ from the results of rlm with the default parameter set and the gaussian family.
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| Sep 15, 2022 at 13:22 | comment | added | Josef |
I never used glmrob. The documentation shows a weights.on.x option. If weights are ones, then the x-outliers are not downweighted, i.e. no Mallows weights are used.
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| Sep 14, 2022 at 17:04 | comment | added | pytony |
Thanks for your response! Would it be possible to select a set of parameters for glmrob so that the resulting model is identical with some set of parameters for rlm?
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| Sep 13, 2022 at 15:51 | history | answered | Josef | CC BY-SA 4.0 |