Thread Subject: RobustFit goodness of fit

Dear Listers,
 I'd like to know how to 'understand' the goodness of fit of a Robust
regression by the stats result (r,s,robust_s, etc)

Any suggestion would be greatly appreciated.

Cristiano.

> I'd like to know how to 'understand' the goodness of fit of a Robust
> regression by the stats result (r,s,robust_s, etc)

Cristiano, if you type "edit robustfit" and look below the regular help
text, you will find some additional comments listing references. The paper
by DuMouchel and O'Brien talks about this issue.

-- Tom

"Tom Lane" <tlane@mathworks.com> wrote in message <gi6899$mee$1@fred.mathworks.com>...
> > I'd like to know how to 'understand' the goodness of fit of a Robust
> > regression by the stats result (r,s,robust_s, etc)
>
> Cristiano, if you type "edit robustfit" and look below the regular help
> text, you will find some additional comments listing references. The paper
> by DuMouchel and O'Brien talks about this issue.
>
> -- Tom
>

The robust fitting and curvefit functions are incredibly useful, but...it would be nice if the help for the functions went a little farther in explaining what was being calculated. For example, it is not clear what r^2 means for robust fitting since it must be different from what is done for OLS and presumably incorporates the weighting used in the fit. Since you have coded some particular equations in the m-file, why not write them down? Also - it would be nice if robustfit.m included the r^2 that is given in curvefit.
Stephen
ps: unfortunately the DuMouchel and O'Brien paper seems to be the rare case of something not available online.