Extract Robustness and Model Weights

weights() extracts robustness weights or fitting (or prior) weights from a lmrob or glmrob object.

# S3 method for class 'lmrob'
weights(object, type = c("prior", "robustness"), ...)

Arguments

object

an object of class "lmrob" or "glmrob", typically the result of a call to lmrob, or glmrob, respectively.

type

the type of weights to be returned. Either "prior" (default), or "robustness".

...

not used currently.

Details

The “prior weights” correspond to the weights specified using the “weights” argument when calling lmrob. The “robustness weights” are the weights assigned by the M-estimator of regression, \(\psi(r_i/S) / (r_i/S)\). The robust coefficient estimate then numericarlly corresponds to a weighted least squares fit using the product of both types of weights as weights.

Value

Weights extracted from the object object.

Author

Manuel Koller and Martin Maechler.

See also

lmrob, glmrob and weights