[ANN] RobustModels: Robust linear regression using M-Estimators and more

Hi,
I would like to present RobustModels.jl, a new package
to perform robust linear regressions using M-Estimator, MM-Estimator and τ-Estimator, but also quantile regression, MQuantile regression and robust Ridge regression.
It can also be used to calculate robust estimate of the mean and variance of a vector.
It can also be used to detect outliers, similar to LinRegOutliers.jl.

It is originally based on RobustLeastSquares.jl and it is using the same interface as GLM.jl for a better reusability.

You can find the documentation here: Home · RobustModels
The package is not registered yet, so install with:

] add https://github.com/getzze/RobustModels.jl
20 Likes

The package is now registered, install with:

] add RobustModels
2 Likes

Hi,

thank you very much for this package. I have one question upfront before I start my investigation of your package.
The Standard Deviation does not only reflect instability in terms of fluctuations it aslo reflects the slope (represented by the linear regression).
To decouple both: a) oscilation / fluctuation, b) drift/slope
I have in mind a new variant of standard deviation, in the first step I calculate the slope by means
of liear regression, in the second step I remove the slope of the investigated points (keeping the
algebraic mean constant) and in the 3rd step I calculate the slope corrected standard deviation.
I this a resonable approach? How would this be calculated by means of your module?
Regards,
Stefan