Hi Laura, >> I was searching for a way to compute robust R-square in R in order to get >> an >> information similar to the "Proportion of variation in response(s) >> explained >> by model(s)" computed by S-Plus.
There are several options. I have had good results using wle.lm() in package wle and lmRob() in package robust. The second option is perhaps closest to what you want. Regards, Mark. Laura POggio wrote: > > I was searching for a way to compute robust R-square in R in order to get > an > information similar to the "Proportion of variation in response(s) > explained > by model(s)" computed by S-Plus. This post is dealing with that. Would be > possible to have some hints on how to calculate this parameter within R? > > Thank you very much in advance. > > Laura Poggio > > > ----------------------------------------------------------------------------- > Date: Mon, 20 Oct 2008 06:15:49 +0100 (BST) > From: Prof Brian Ripley <[EMAIL PROTECTED]> > Subject: Re: [R] R-square in robust regression > To: PARKERSO <[EMAIL PROTECTED]> > Cc: r-help@r-project.org > Message-ID: > <[EMAIL PROTECTED]> > Content-Type: TEXT/PLAIN; charset=US-ASCII; format=flowed > > On Sun, 19 Oct 2008, PARKERSO wrote: > >> >> Hi there, >> I have just started using the MASS package in R to run M-estimator robust >> regressions. The final output appears to only give coefficients, degrees > of >> freedom and t-stats. Does anyone know why R doesn't compute R or >> R-squared > > These as only valid for least-squares fits -- they will include the > possible outliers in the measure of fit. > > And BTW, it is not 'R', but the uncredited author of the package who made > such design decisions. > >> and why doesn't give you any other indices of goodness of fit? > > Which ones did you have in mind? It does give a scale estimate of the > residuals, and this determines the predition accuracy. > >> Does anyone know how to compute these in R? > > Yes. > >> Sophie > > > -- > Brian D. Ripley, [EMAIL PROTECTED] > Professor of Applied Statistics, > http://www.stats.ox.ac.uk/~ripley/<http://www.stats.ox.ac.uk/%7Eripley/> > University of Oxford, Tel: +44 1865 272861 (self) > 1 South Parks Road, +44 1865 272866 (PA) > Oxford OX1 3TG, UK Fax: +44 1865 272595 > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > > -- View this message in context: http://www.nabble.com/Re%3A-R-square-in-robust-regression-tp20478161p20478307.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
