NAG Library Routine Document
G07DCF
1 Purpose
G07DCF computes an M-estimate of location with (optional) simultaneous estimation of scale, where you provide the weight functions.
2 Specification
| SUBROUTINE G07DCF ( | CHI, PSI, ISIGMA, N, X, BETA, THETA, SIGMA, MAXIT, TOL, RS, NIT, WRK, IFAIL) |
| INTEGER | ISIGMA, N, MAXIT, NIT, IFAIL |
| double precision | CHI, PSI, X(N), BETA, THETA, SIGMA, TOL, RS(N), WRK(N) |
| EXTERNAL | CHI, PSI |
3 Description
The data consists of a sample of size n, denoted by x1,x2,…,xn, drawn from a random variable X.
The
xi are assumed to be independent with an unknown distribution function of the form,
where
θ is a location parameter, and
σ is a scale parameter.
M-estimators of
θ and
σ are given by the solution to the following system of equations;
where
ψ and
χ are user-supplied weight functions, and
β is a constant. Optionally the second equation can be omitted and the first equation is solved for
θ^ using an assigned value of
σ=σc.
The constant
β should be chosen so that
σ^ is an unbiased estimator when
xi, for
i=1,2,…n has a Normal distribution. To achieve this the value of
β is calculated as:
The values of
ψ
xi-θ^σ^
σ^ are known as the Winsorized residuals.
The equations are solved by a simple iterative procedure, suggested by Huber:
and
or
if
σ is fixed.
The initial values for
θ^ and
σ^ may be user-supplied or calculated within
G07DBF as the sample median and an estimate of
σ based on the median absolute deviation respectively.
G07DCF is based upon subroutine LYHALG within the ROBETH library, see
Marazzi (1987).
4 References
Hampel F R, Ronchetti E M, Rousseeuw P J and Stahel W A (1986)
Robust Statistics. The Approach Based on Influence Functions Wiley
Huber P J (1981)
Robust Statistics Wiley
Marazzi A (1987) Subroutines for robust estimation of location and scale in ROBETH
Cah. Rech. Doc. IUMSP, No. 3 ROB 1 Institut Universitaire de Médecine Sociale et Préventive, Lausanne
5 Parameters
- 1: CHI – double precision FUNCTION, supplied by the user.External Procedure
CHI must return the value of the weight function
χ for a given value of its argument. The value of
χ must be non-negative.
The specification of
CHI is:
| double precision FUNCTION CHI ( | T) |
| double precision | T |
- 1: T – double precisionInput
On entry: the argument for which
CHI must be evaluated.
CHI must be declared as EXTERNAL in the (sub)program from which G07DCF is called. Parameters denoted as
Input must
not be changed by this procedure.
- 2: PSI – double precision FUNCTION, supplied by the user.External Procedure
PSI must return the value of the weight function
ψ for a given value of its argument.
The specification of
PSI is:
| double precision FUNCTION PSI ( | T) |
| double precision | T |
- 1: T – double precisionInput
On entry: the argument for which
PSI must be evaluated.
PSI must be declared as EXTERNAL in the (sub)program from which G07DCF is called. Parameters denoted as
Input must
not be changed by this procedure.
- 3: ISIGMA – INTEGERInput
On entry: the value assigned to
ISIGMA determines whether
σ^ is to be simultaneously estimated.
- ISIGMA=0
- The estimation of σ^ is bypassed and SIGMA is set equal to σc.
- ISIGMA=1
- σ^ is estimated simultaneously.
- 4: N – INTEGERInput
-
On entry:
n, the number of observations.
Constraint:
N>1.
- 5: X(N) – double precision arrayInput
-
On entry: the vector of observations, x1,x2,…,xn.
- 6: BETA – double precisionInput
On entry: the value of the constant
β of the chosen
CHI function.
Constraint:
BETA>0.0.
- 7: THETA – double precisionInput/Output
On entry: if
SIGMA>0, then
THETA must be set to the required starting value of the estimate of the location parameter
θ^. A reasonable initial value for
θ^ will often be the sample mean or median.
On exit: the M-estimate of the location parameter θ^.
- 8: SIGMA – double precisionInput/Output
On entry: the role of
SIGMA depends on the value assigned to
ISIGMA as follows:
- if ISIGMA=1, SIGMA must be assigned a value which determines the values of the starting points for the calculation of θ^ and σ^. If SIGMA≤0.0, then G07DCF will determine the starting points of θ^ and σ^. Otherwise, the value assigned to SIGMA will be taken as the starting point for σ^, and THETA must be assigned a relevant value before entry, see above;
- if ISIGMA=0, SIGMA must be assigned a value which determines the values of σc, which is held fixed during the iterations, and the starting value for the calculation of θ^. If SIGMA≤0, then G07DCF will determine the value of σc as the median absolute deviation adjusted to reduce bias (see G07DAF) and the starting point for θ. Otherwise, the value assigned to SIGMA will be taken as the value of σc and THETA must be assigned a relevant value before entry, see above.
On exit: the
M-estimate of the scale parameter
σ^, if
ISIGMA was assigned the value
1 on entry, otherwise
SIGMA will contain the initial fixed value
σc.
- 9: MAXIT – INTEGERInput
-
On entry: the maximum number of iterations that should be used during the estimation.
Suggested value:
MAXIT=50.
Constraint:
MAXIT>0.
- 10: TOL – double precisionInput
-
On entry: the relative precision for the final estimates. Convergence is assumed when the increments for
THETA, and
SIGMA are less than
TOL×max1.0,σk-1.
Constraint:
TOL>0.0.
- 11: RS(N) – double precision arrayOutput
-
On exit: the Winsorized residuals.
- 12: NIT – INTEGEROutput
-
On exit: the number of iterations that were used during the estimation.
- 13: WRK(N) – double precision arrayOutput
-
On exit: if
SIGMA≤0.0 on entry,
WRK will contain the
n observations in ascending order.
- 14: IFAIL – INTEGERInput/Output
-
On entry:
IFAIL must be set to
0,
-1 or 1. If you are unfamiliar with this parameter you should refer to
Section 3.3 in the Essential Introduction for details.
On exit:
IFAIL=0 unless the routine detects an error (see
Section 6).
For environments where it might be inappropriate to halt program execution when an error is detected, the value
-1 or 1 is recommended. If the output of error messages is undesirable, then the value
1 is recommended. Otherwise, if you are not familiar with this parameter, the recommended value is
0.
When the value -1 or 1 is used it is essential to test the value of IFAIL on exit.
6 Error Indicators and Warnings
If on entry
IFAIL=0 or
-1, explanatory error messages are output on the current error message unit (as defined by
X04AAF).
Errors or warnings detected by the routine:
- IFAIL=1
-
| On entry, | N≤1, |
| or | MAXIT≤0, |
| or | TOL≤0.0, |
| or | ISIGMA≠0 or 1. |
- IFAIL=2
-
- IFAIL=3
-
| On entry, | all elements of the input array X are equal. |
- IFAIL=4
-
SIGMA, the current estimate of
σ, is zero or negative. This error exit is very unlikely, although it may be caused by too large an initial value of
SIGMA.
- IFAIL=5
-
The number of iterations required exceeds
MAXIT.
- IFAIL=6
-
On completion of the iterations, the Winsorized residuals were all zero. This may occur when using the ISIGMA=0 option with a redescending ψ function, i.e., ψ=0 if t>τ, for some positive constant τ.
If the given value of
σ is too small, then the standardized residuals
xi-θ^kσc
, will be large and all the residuals may fall into the region for which
ψt=0. This may incorrectly terminate the iterations thus making
THETA and
SIGMA invalid.
Re-enter the routine with a larger value of σc or with ISIGMA=1.
- IFAIL=7
-
The value returned by the
CHI function is negative.
7 Accuracy
On successful exit the accuracy of the results is related to the value of
TOL, see
Section 5.
8 Further Comments
Standard forms of the functions
ψ and
χ are given in
Hampel et al. (1986),
Huber (1981) and
Marazzi (1987).
G07DBF calculates
M-estimates using some standard forms for
ψ and
χ.
When you supply the initial values, care has to be taken over the choice of the initial value of
σ. If too small a value is chosen then initial values of the standardized residuals
xi-θ^kσ
will be large. If the redescending
ψ functions are used, i.e.,
ψ=0 if
t>τ, for some positive constant
τ, then these large values are Winsorized as zero. If a sufficient number of the residuals fall into this category then a false solution may be returned, see page 152 of
Hampel et al. (1986).
9 Example
The following program reads in a set of data consisting of eleven observations of a variable X.
The
PSI and
CHI functions used are Hampel's Piecewise Linear Function and Hubers
CHI function respectively.
Using the following starting values various estimates of
θ and
σ are calculated and printed along with the number of iterations used:
| (a) |
G07DCF determined the starting values, σ is estimated simultaneously. |
| (b) |
You must supply the starting values, σ is estimated simultaneously. |
| (c) |
G07DCF determined the starting values, σ is fixed. |
| (d) |
You must supply the starting values, σ is fixed. |
9.1 Program Text
Program Text (g07dcfe.f)
9.2 Program Data
Program Data (g07dcfe.d)
9.3 Program Results
Program Results (g07dcfe.r)