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CHAPTER 12 ROBUST LINEAR REGRESSION
COMPARING LEAST SQUARES AND ROBUST FITS
Creating a
Comparison
Object for LS
and Robust
Fits
In the section Visualizing the Fit with the plot Function, we compared the
residuals vs. fitted values plot for both the LS and robust fits. You might have
noted that the two plots do not have the same vertical scale. It would be nice
to have the capability of plotting different fits on the same scale for easy
visual comparison and also making tabular displays of LS and robust fits
which are conveniently aligned for ease of comparing inference results. To
this end S-PLUS provides a function compare.fits, for creating a models
comparison object, along with appropriate print, plot and summary
methods for this class of object.
For example, to compare the results from the two fits oil.ls and
oil.robust, first create the comparison object oil.cmpr with the following
command:
> oil.cmpr <- compare.fits(oil.ls,oil.robust)
The object returned by compare.fits is of class “compare.fits”. Now
you can print a short summary of the comparison:
> oil.cmpr
Calls:
oil.ls lm(formula = Oil ~ Market, data = oil.df)
oil.robust lmRobMM(formula = Oil ~ Market, data = oil.df)
Coefficients:
oil.ls oil.robust
(Intercept) 0.1474
-0.08396
Market 2.8567
0.82888
Residual Scale Estimates:
oil.ls : 0.4867 on 127 degrees of freedom
oil.robust : 0.1446 on 127 degrees of freedom
Visualizing LS
vs. Robust Fits
You can easily plot a compare.fits object to obtain a visual comparison of
the LS and robust fits:
> plot(oil.cmpr)
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