Robust Regression Examples

Example 12.2 Comparison of LMS and LTS Algorithms

Subsections:

LMS Regression with 2,000 Random Subsets
LTS Regression with 500 Random Subsets
Robust Regression with All 5,985 Subsets

The following example compares the LMS and FAST-LTS subroutines. The data are the stack loss data of Brownlee (1965). The three explanatory variables correspond to measurements for a plant that oxidizes ammonia to nitric acid on 21 consecutive days:

$x_1$ represents the air flow to the plant.
$x_2$ represents the temperature of cooling water.
$x_3$ represents the acid concentration.

The response variable gives the permillage of ammonia lost (stack loss). The following data are also given in Rousseeuw and Leroy (1987) and Osborne (1985):

   /* Obs X1  X2  X3   Y  Stack Loss data */
SL = { 1  80  27  89  42,
       2  80  27  88  37,
       3  75  25  90  37,
       4  62  24  87  28,
       5  62  22  87  18,
       6  62  23  87  18,
       7  62  24  93  19,
       8  62  24  93  20,
       9  58  23  87  15,
      10  58  18  80  14,
      11  58  18  89  14,
      12  58  17  88  13,
      13  58  18  82  11,
      14  58  19  93  12,
      15  50  18  89   8,
      16  50  18  86   7,
      17  50  19  72   8,
      18  50  19  79   8,
      19  50  20  80   9,
      20  56  20  82  15,
      21  70  20  91  15 };
x = SL[, 2:4]; y = SL[, 5];

Rousseeuw and Leroy (1987) cite a large number of papers in which the preceding data were analyzed. They state that most researchers "concluded that observations 1, 3, 4, and 21 were outliers" and that some people also reported observation 2 as an outlier.

LMS Regression with 2,000 Random Subsets

For $N=21$ and $n=4$ (three explanatory variables plus an intercept), there are a total of ${21\choose 4} =$ 5,985 different subsets of four observations. If you do not specify OPTN[5], the LMS subroutine draws 2,000 random sample subsets. A large number of subsets are collinear and therefore lead to singular linear systems. To suppress printing these subsets and to reduce other output, choose OPTN[2]=2 as in the following statements:

/* Use 2000 Random Subsets for LMS */
optn = j(9,1,.);
optn[2]= 2;    /* print a moderate amount of output */
optn[3]= 1;    /* compute only LMS regression */

ods select IterHist0 BestSubset EstCoeff;
call lms(sc, coef, wgt, optn, y, x);
ods select all;

Summary statistics are shown in Output 12.2.1. The "IterHist0" table summarizes the process of choosing subsets of four observations. A total of 2,103 subsets are chosen in order to obtain 2,000 nonsingular subsets. The subset that yields the best regression fit consists of observations 10, 11, 15, and 19. The parameter estimates for the LMS regression are $\beta _1 = 0.75$ , $\beta _2 = 0.5$ , $\beta _3 = 0.0$ , and $\beta _0 = -39.25$ .

Output 12.2.1: LMS Regression Output

Subset	Singular	Best Criterion	Percent
500	23	0.163262	25
1000	55	0.140519	50
1500	79	0.140519	75
2000	103	0.126467	100

Observations of Best Subset
15	11	19	10

Estimated Coefficients
VAR1	VAR2	VAR3	Intercep
0.75	0.5	0	-39.25

The three matrices that are returned by the LMS subroutine contain detailed information about the regression. A few of the results are shown in Output 12.2.2, which is produced by the following statements:

r1 = {"Quantile", "Number of Subsets", "Number of Singular Subsets",
       "Number of Nonzero Weights", "Min Objective Function",
       "Preliminary Scale Estimate", "Final Scale Estimate",
       "Robust R Squared", "Asymptotic Consistency Factor"};
sc1 = sc[1:9];
print sc1[r=r1 L="LMS Information and Estimates"];

The matrix that is shown in Output 12.2.2 includes the following information:

The LMS algorithm minimizes the square of the 13th smallest residual.
Of the 21 observations in the data, 17 are assigned nonzero weights. Equivalently, four are classified as influential observations and are assigned zero weights.
The other statistics are described in the documentation for the LMS subroutine .

Output 12.2.2: LMS Regression Output

LMS Information and Estimates
Quantile	13
Number of Subsets	2103
Number of Singular Subsets	103
Number of Nonzero Weights	17
Min Objective Function	0.75
Preliminary Scale Estimate	1.0478511
Final Scale Estimate	1.2076147
Robust R Squared	0.9648438
Asymptotic Consistency Factor	1.1413664

You can print the wgt vector to discover that the observations 1, 3, 4, and 21 have scaled residuals larger than 2.5 (output not shown) and so are classified as outliers.

LTS Regression with 500 Random Subsets

The FAST-LTS algorithm uses only 500 random subsets and gets better optimization results, as measured by the sum of the squared residuals criterion. The following statements call the LTS subroutine:

/* Use 500 random subsets for FAST-LTS algorithm */
optn = j(9,1,.);
optn[2]= 0;    /* suppress output */
optn[3]= 0;    /* compute only LTS regression */
optn[9]= 0;    /* FAST-LTS */

call lts(sc, coef, wgt, optn, y, x);

The following statements display information about the LTS algorithm, parameter estimates, and outliers:

r1 = {"Quantile", "Number of Subsets", "Number of Singular Subsets",
       "Number of Nonzero Weights", "Min Objective Function",
       "Preliminary Scale Estimate", "Final Scale Estimate",
       "Robust R Squared", "Asymptotic Consistency Factor"};
sc1 = sc[1:9];
print sc1[r=r1 L="LTS Information and Estimates"];

print (coef[1,])[L="Estimated Coefficients"
                 c={"x1" "x2" "x3" "Intercept"}];

outliers = loc(wgt[1,]=0);
print outliers;

The results are shown in Output 12.2.3. The LTS algorithm examines 517 subsets of observations, for which 17 are singular, and classifies six observations as outliers. The output also shows the parameter estimates for the regression model.

Output 12.2.3: Results for LTS Algorithm

LTS Information and Estimates
Quantile	13
Number of Subsets	517
Number of Singular Subsets	17
Number of Nonzero Weights	15
Min Objective Function	0.4749406
Preliminary Scale Estimate	0.9888436
Final Scale Estimate	1.0360273
Robust R Squared	0.974552
Asymptotic Consistency Factor	2.0820364

Estimated Coefficients
x1	x2	x3	Intercept
0.7409211	0.3915267	0.0111345	-37.32333

outliers
1	2	3	4	13	21

Robust Regression with All 5,985 Subsets

For a small number of observations, you can generate regression results by considering all possible subsets of observations. For the LMS subroutine, you can set OPTN[5] = $-1$ to generate all subsets. For the stack loss data, the parameter estimates are identical to Output 12.2.2.