trq(x, y, a1=0.1, a2, int=TRUE, z, method="primal", tol=1e-4)
x
| vector or matrix of explanatory variables. If a matrix, each column represents a variable and each row represents an observation (or case). This should not contain column of 1s unless the argument intercept is FALSE. The number of rows of x should equal the number of elements of y, and there should be fewer columns than rows. Missing values are not allowed. |
y
| reponse vector with as many observations as the number of rows of x. Missing value are not allowed. |
a1
| the lower trimming proportion; defaults to .1 if missing. |
a2
| the upper trimming proportion; defaults to a1 if missing. |
int
| flag for intercept; if TRUE, an intercept term is included in regression model. The default includes an intercept term. |
z
| structure returned by the function 'rq' with tau <0 or >1. If missing, the function rq(x,y,int=int) is automatically called to generate this argument. If several calls to trq are anticipated for the same data this avoids recomputing the rq solution for each call. |
method
| method to be used for the trimming. If the choice is "primal", as is the default, a trimmed mean of the primal regression quantiles is computed based on the sol array in the 'rq' structure. If the method is "dual", a weighted least-squares fit is done using the dual solution in the 'rq' structure to construct weights. The former method is discussed in detail in Koenker and Potnoy(1987) the latter in Ruppert and Carroll(1980) and Gutenbrunner and Jureckova(1991). |
tol
| Tolerance parameter for rq computions |
coef
| estimated coeficient vector |
resid
| residuals from the fit. |
cov
| the estimated covariance matrix for the coeficient vector. |
v
| the scaling factor of the covariance matrix under iid error assumption: cov=v*(x'x)^(-1). |
wt
| the weights used in the least squares computation, Returned only when method="dual". |
d
| the bandwidth used to compute the sparsity function. Returned only when a1+a2=1. |
Koenker, R.W. (1987), "A Comparison of Asymptotic Methods of Testing based on L1 Estimation," in Y. Dodge (ed.) Statistical Data Analysis Based on the L1 norm and Related Methods, New York: North-Holland.
Koenker, R. W., and Bassett, G.W (1978), "Regression Quantiles", Econometrica, 46, 33-50.
Koenker, R., and Portnoy, S. (1987), "L-Estimation for Linear Models", Journal of the American Statistical Association, 82, 851-857.
Ruppert, D. and Carroll, R.J. (1980), "Trimmed Least Squares Estimation in the Linear Model", Journal of the American Statistical Association, 75, 828-838.
x <- -10:10; y <- 0.2 * x + rt(x, df=3) z <- rq(x,y) #z gets the full regression quantile structure trq(x,y, .05, z=z) #5% symmetric primal trimming # Error, which also occurs in S-Plus. trq(x,y, .01, .03, method="dual") #1% lower and 3% upper trimmed least- #squares fit. trq.print(trq(x,y)) #prints trq results in the style of ls.print.