[S] Model selection using robust regression

Steven Paul Millard (probstat@nwrain.com)
Thu, 26 Feb 1998 09:38:48 -0800


Could someone please point me towards some references that discuss
model selection when you use robust regression techniques (e.g.,
ltsreg() in S-PLUS). With linear models you can use partial F-tests or
the Cp statistic. With GLM and GAM models you can use the AIC
statistic. Could you also use a version of the AIC statistic with
robust regression methods?

Also, based on the answer to the first question, has anyone written any
functions in S-PLUS to compute statistics to compare models from robust
fits? For example, there are the functions anova.lm, anova.glm,
anova.gam, step.glm, and step.gam, but nothing similar for objects of
class "lts".

Thank you so much for your time.


--Steve M.

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