How can i perform robust regression by setting my own weight function

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zahid 2016-5-3

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https://ww2.mathworks.cn/matlabcentral/answers/282233-how-can-i-perform-robust-regression-by-setting-my-own-weight-function

评论： Agnieszka Dybalska 2020-12-29

Dear ALL, Anyone can help to understand to about robustfit command in matlab.In the description of this function it is given that we can define our own weight function but i do not know how can i define my own weight function to run this robust regression.Suppose i have to define my weight function w=weights = @(r) 1./((a + b*abs(r)).^2);where a and b are tuning constants with values a=1,and b=1.With these weights how can i run the robust regression line? Data on x and y variables can be let x = (1:10)'; and y = 10 - 2*x + randn(10,1);

Thanks

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jgg 2016-5-3

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As it says: you can write your own weight function. The function must take a vector of scaled residuals as input and produce a vector of weights as output. In this case, wfun is specified using a function handle @ (as in @myfun), and the input tune is required.

So, something like

 a = 1; b = 1;
 w = @(r)(1./((a + b*abs(r)).^2))

should work. Then, call it like:

b = robustfit(x,y,w,1)

You'll need to figure out what the appropriate tuning constant is, though.

Agnieszka Dybalska 2020-12-29

在 MATLAB Online 中打开

I followed that,

but I have a vector with weight values instead. The code :

b = robustfit(x,y,w1,1)
w1=w % w is a vector 

w is a column size as x,y...

doesn't work,

Error using statrobustfit (line 12)
Weight function is not valid.
Error in robustfit (line 114)
[varargout{:}] = statrobustfit(X,y,wfun,tune,wasnan,doconst,priorw,dowarn);

I received that error.

Any ideas what is wrong?

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