Is there a built in way in
lm
to make it ignore extreme values?
Yes. You need to look at rlm
.
For more reading material, look at the CRAN Task for robust methods. (Josh already gave this link)
题
This must be a fairly standard question: I have some return data that has errors (they are actual errors, not just large returns). I am thinking of the best way to correct this so it doesn't influence my regressions. One idea is to simply set returns that are in the extreme quantiles to mean return. Another solution: have lm
ignore these extreme values. Is there a built in way in lm
to make it ignore extreme values? I know matlab has something called roust regression which does just this.
解决方案
Is there a built in way in
lm
to make it ignore extreme values?
Yes. You need to look at rlm
.
For more reading material, look at the CRAN Task for robust methods. (Josh already gave this link)