Software for robust statistics

ROBETH

ROBETH is the program library for robust statistical procedures described in the book entitled "Algorithms, Routines and S-Plus Functions" by A. Marazzi (Wadsworth and Brooks/Cole, 1993; reprinted by Chapman Hall). ROBETH has been interfaced to the statistical environments S-Plus and R.
Several errors in ROBETH and in the book have been corrected and a few changes have been made. The most recent version of ROBETH and a list of corrections are made available here.

Only the packages under R are maintained. The packages under S-Plus are freezed and no more support can be given

  File Description
  robwin.zip Binary files and interface for S-Plus 4.x or S-Plus 2000 / Windows, zip file (no binary file for S-Plus 3.x); june 2003
  robwin_v6.zip Binary files and interface for S-Plus 6.x / Windows or more recent version, zip file; june 2003
  robeth_R.zip Binary files for R for Windows 32 or 64 bits (version > 3.0) , june 2013
  robeth_2.6.tar.gz tar.gz source files for installing robeth under R (other OS); june 2013
  errata.txt corrections and changes in the book; last change: november 2002
  errcod.txt correction and changes in the code; last change: august 2001

N.B.: For ROBETH and all the following programs, see the documentation "Writing R Extension" at http://cran.r-project.org/manuals.html for the installation instructions under R.

 

HUBER

HUBER is a library of S functions for the computation of Huber type robust regression. HUBER requires ROBETH to be loaded into S-Plus or R.

  File Description
  hubwin.zip Binary files and interface for S-Plus 4.x or S-Plus 2000/Windows, zip file; august 2003
  hubwin_v6.zip Binary files and interdace for S-Plus 6.x / Windows and more recent version, zip-file; august 2004
  hubman.pdf manual, PDF-file; august 2003
  Huber_R.zip Binary files for R for Windows 32 bits (version > 2.10) , september 2011
  Huber_1.0.tar.gz tar.gz source files for installing Huber under R (other OS); september 2011

 

ZYSREG

ZYSREG is a library of S functions for the computation of high breakdown point and high efficiency regression with a test for biais according to a method proposed by Yohai, Zamar and Stahel. ZYSREG requires ROBETH to be loaded into S-Plus or R.

  File Description
  zyswin.zip Binary files and interface for S-Plus 4.x or S-Plus 2000 / Windows, zip-file; august 2003
  zyswin_v6.zip Binary files and interface for S-Plus 6.x / Windows and more recent version, zip-file; august 2004
  zysman.pdf manual, PDF-file; august 2003
  ZYSreg_R.zip Binary files for R for Windows 32 bits (version > 2.10), november 2011
  ZYSreg_1.0.tar.gz tar.gz source files for installing ZYSreg under R (other OS); november 2011

 

ROBGLM

ROBGLM is a library of S functions for the computation of conditionally unbiased bounded-influence M-estimates for discrete Generalized Linear Models according to a method proposed by Kuensch et al. [1989]. ROBGLM requires ROBETH to be loaded into S-Plus or R.

  File Description
  glmsrc.tar.Z program sources for S-Plus 3.x and more recent versions, compressed UNIX file; september 2003
  glmman.tar.Z manual, UNIX compressed PS-file; april 1997
  glmwin.zip object files for S-Plus 4.x or S-Plus 2000 / Windows, zip-file; september 2003
  glmwin_v6.zip object files for S-Plus 6.x / Windows and more recent version, zip-file; september 2003
  glmman.zip manual, PS and PDF-files; august 1999
  glmR_win.zip Sources for R (version >= 1.5.1 and < 2.0.0) / Windows, zip-file; september 2003
  install.txt Installation instruction

Papers related to this library:

Künsch H.R., Stefanski L.A., Carrol R.J. [1989]. Conditionnally unbiased bounded-influence estimation in general regression models, with application to generalized linear models. Journal of the American Statistical Association 84, pp.460-466.

 

ROBNRM

ROBNRM is a library of S functions for the computation of M-estimates of the parameters of the Gauss and the lognormal distributions. ROBNRM requires ROBETH to be loaded into S-Plus or R.

 

  File Description
  nrmwin.zip Binary files and interface for S-Plus 4.x or S-Plus 2000 / Windows, zip-file; july 2003
  nrmwin_v6.zip Binary files and interface for S-Plus 6.x / Windows and more recent version, zip-file; october 2001
  robnrm_R.zip Binary files for R for Windows 32 bits (version > 2.10); March 2011
  Gsman.pdf manual, PDF-file; july 2003
  robnrm_1.0.tar.gz tar.gz source files for installing robnrm under R (other OS); March 2011

Papers related to this library:

Marazzi A., Paccaud F., Ruffieux C. [1998]. Fitting the distributions of length of stay by parametric models. Medical care 36:915-927.[Draft pdf]

 

ROBGAM

ROBGAM is a library of S functions for the computation of M-estimates of the parameters of the Gamma distribution. ROBGAM requires ROBETH to be loaded into S-Plus or R.

  File Description
  gamwin.zip Binary files and interface for S-Plus 4.x or S-Plus 2000 / Windows, zip file; july 2003
  gamwin_v6.zip Binary files and interface for S-Plus 6.x / Windows and more recent versions, zip file; july 2003
  gamman.pdf manual, PDF-file. august 1999
  robgam_R.zip Binary files for R for Windows 32 bits (version > 2.10), march 2011
  robgam_1.0.tar.gz tar.gz source files for installing robgam under R (other OS); march 2011

Papers related to this library:

Marazzi A., Ruffieux C. [1996]. Implementing M-estimators of the Gamma distribution. Robust Statistics, Data Analysis, and Computer Intensive Methods, in Honor of Peter Huber's 60th Birthday, H. Rieder (Ed.).Lecture Notes in Statistics, Springer 109, pp.277-297.[Draft pdf]

Marazzi A., Paccaud F., Ruffieux C. [1998]. Fitting the distributions of length of stay by parametric models. Medical care 36:915-927.[Draft pdf]

 

ROBWBL

ROBWBL is a library of S functions for the computation of M-estimates of the parameters of the Weibull distribution. ROBWBL requires ROBETH to be loaded into S-Plus or R.

  File Description
  wblwin.zip Binary files and interface for S-Plus 4.x or S-Plus 2000 / Windows, zip-file; july 2003
  wblwin_v6.zip Binary files and interface for S-Plus 6.x / Windows and more recent version, zip-file; october 2001
  wblman.pdf manual, PDF-file; july 2003
  robwbl_R.zip Binary files for R for Windows 32 bits (version > 2.10), october 2011
  robwbl_1.0.tar.gz tar.gz source files for installing robwbl under R (other OS); october 2011

Papers related to this library:

Marazzi A., Paccaud F., Ruffieux C. [1998]. Fitting the distributions of length of stay by parametric models. Medical care 36:915-927.[Draft pdf]

 

TWMEAN

TWMEAN is a library of S functions for the computation of truncated and/or weighted mean estimate of an asymmetric distribution. TWMEAN requires ROBETH and ROBGAM or ROBWBL or ROBNRM to be loaded into S-Plus or R.

  File Description
  twmwin.zip Binary files and interface for S-Plus 4.x or S-Plus 2000 / Windows, zip-file; may 2005
  twmwin_v6.zip Binary files and interface for S-Plus 6.x / Windows or more recent version, zip-file; may 2005
  twmman.pdf manual, PDF-file; july 2003
  twmean_R.zip Binary files for R for Windows 32 bits (version > 2.10); october 2011
  twmean_1.0.tar.gz tar.gz source files for installing twmean under R (other OS); october 2011

Papers related to this library:

Marazzi A., Ruffieux C. [1999]. The truncated mean of an asymmetric distribution Computational Statistics & Data Analysis 32:79-100. [Draft pdf]

Marazzi A.  [2001]. Bootstrap tests for robust means of asymmetric distributions with unequal shapes. Computational Statistics & Data Analysis 39:503-528. [Draft pdf]

 

CNTRMN

CNTRMN is a library of S functions for the computation of constrained estimators and bootstrap tests of robust means of asymmetric distributions. CNTRMN requires ROBETH, ROBWBL, ROBGAM, ROBNRM and TWMEAN to be loaded into S-Plus or R.

  File Description
  cntsrc.tar.Z program sources for S-Plus 3.x and more recent versions, compressed UNIX file; august 2001
  cntman.ps.Z manual, compressed UNIX PS-files; august 2001
  cntwin.zip object files for S-Plus 4.x or S-Plus 2000 / Windows, zip-file; july 2003
  cntwin_v6.zip object files for S-Plus 6.x/Windows and more recent version,  zip-file; october 2001
  cntman.zip manual, PS and PDF-files; july 2003
  cntR_win.zip DLL+sources for R (version >= 1.5.1 and < 2.0.0) / Windows, zip-file; august 2003
  install.txt Installation instruction

Papers related to this library:

Marazzi A., Ruffieux C. [1999]. The truncated mean of an asymmetric distribution. Computational Statistics & Data Analysis 32:79-100. [Draft pdf]

Marazzi A. [2001]. Bootstrap tests for robust means of asymmetric distributions with unequal shapes. Computational Statistics & Data Analysis 39:503-528. [Draft pdf]

Marazzi A., Barbati G. [2003]. Robust parametric means of asymmetric distributions: estimation and testing. Estadistica, Vol 54, Numbers 162-163, pp 47-72. [Draft pdf]

 

RobustAFT

RobustAFT is a library of R functions for the computation of
1) the truncated maximum likelihood fit, described in Marazzi and Yohai [2004]
and
2) the Robust Accelerated Failure Time regression, described in Locatelli I., Marazzi A., Yohai V. [2010].

It assumes that the error distribution follows a log-Weibull or a normal distribution.
RobustAFT is only available for R (> 3.0) and depends from the R libraries: robustaft, stats, graphics and survival.

  File Description
  RobustAFT_R.zip Binary files for R for Windows 32 bits (version > 3.0); june 2013
  RobustAFT_1.2.tar.gz tar.gz source files for installing RObustAFT under R (other OS); june 2013

Papers related to this library:

Marazzi A., Yohai V. J. [2004]. Adaptively truncated maximum likelihood regression with asymmetric errors. Journal of Statistical Planning and Inference, Vol 122/1-2, pp.271-291. [Draft pdf]
Locatelli I., Marazzi A., Yohai V. [2010]. Robust accelerated failure time regression. Computational Statistics and Data Analysis, 55, pp.874-887.

 

ROBCOX

ROBCOX is a library of S functions for the computation of the robust Cox test. ROBCOX requires ROBETH, ROBGAM, ROBWBL and ROBNRM to be loaded into S-Plus or R.

  File Description
  coxsrc.tar.Z program sources for S-Plus 3.x and more recent versions, compressed UNIX file; september 2002
  coxman.tar.Z manual [Draft], compressed UNIX PS/PDF-file; september 2002
  coxwin.zip object files for S-Plus 3.x, 4.x or S-Plus 2000 / Windows, zip file; september 2002
  coxwin_v6.zip object files for S-Plus 6.x / Windows, zip-file; september 2002
  coxman.zip manual [Draft], PS/PDF-file; september 2002
  dcompar.o precompiled object file for S-Plus 3.x/Windows; september 2002
  install.txt Installation instruction

Papers related to this library:

Kuonen D. [1997]. Robust testing between two asymmetric distributions: A simulation study. Technical report. [Full text pdf]

 

TRFRAC

TRFRAC is a library of S functions for the computation of the robust residual autocorrelation estimate of a transformation parameter. TRFRAC requires ROBETH to be loaded into S-Plus or R.

  File Description
  trfrac.zip object files for S-Plus 2000 / Windows, zip file; april 2005
  trfrac_S_v6.zip object files for S-Plus 6.x / Windows and more recent versions, zip file; april 2005
  trfrac_R.zip DLL and interface for R (version >= 2.9.2 and < 2.12.0) / Windows, october 2010
  install.txt Installation instruction

Papers related to this library:

Marazzi A., Yohai V. J. [2004]. Robust Box-Cox transformations for simple regression. Theory and Applications of Recent Robust Methods, Series: Statistics for Industry and Technology, Birkhauser, Basel. Edited by M. Hubert, G. Pison, A. Struyf and S. Van Aelst. pp 173-182. [Draft pdf]

Marazzi A., Yohai V. J. [2006]. Robust Box-Cox transformations based on minimum residual autocorrelation. Computational Statistics and Data Analysis, 50, pp 2752-2768.

Marazzi A., Yohai V. J. [2005]. Consistency of the robust residual autocorrelation estimate of a transformation parameter. Technical report . [Draft pdf]

 

TRFMCE

TRFMCE is a library of S functions for the computation of the robust response transformation based on optimal prediction. TRFMCE requires ROBETH to be loaded into S-Plus or R.

  File Description
  trfmce_S_v6.zip object files for S-Plus 6.x / Windows and more recent versions, october 2010
  trfmce_R.zip Binary files for R for Windows 32 bits (version > 2.10), november 2011
  trfmce_2.0.tar.gz tar.gz source files for installing trfmce under R (other OS); november 2011

Papers related to this library:

Marazzi A., Villar A.J., Yohai V. J. (2009). Robust Response Transformations Based on Optimal Prediction. Journal of the American Statistical Association, 104(485), pp. 360-370. doi:10.1198/jasa.2009.0109.

                         

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