tut_ols_rlm_short.py

'''Examples: comparing OLS and RLM

robust estimators and outliers

RLM is less influenced by outliers than OLS and has estimated slope
closer to true slope and not tilted like OLS.

Note: uncomment plt.show() to display graphs
'''

import numpy as np
#from scipy import stats
import statsmodels.api as sm
import matplotlib.pyplot as plt
from statsmodels.sandbox.regression.predstd import wls_prediction_std

#fix a seed for these examples
np.random.seed(98765789)

nsample = 50
x1 = np.linspace(0, 20, nsample)
X = np.c_[x1, np.ones(nsample)]

sig = 0.3   # smaller error variance makes OLS<->RLM contrast bigger
beta = [0.5, 5.]
y_true2 = np.dot(X, beta)
y2 = y_true2 + sig*1. * np.random.normal(size=nsample)
y2[[39,41,43,45,48]] -= 5   # add some outliers (10% of nsample)


# Example: estimate linear function (true is linear)

plt.figure()
plt.plot(x1, y2, 'o', x1, y_true2, 'b-')


res2 = sm.OLS(y2, X).fit()
print "OLS: parameter estimates: slope, constant"
print res2.params
print "standard deviation of parameter estimates"
print res2.bse
prstd, iv_l, iv_u = wls_prediction_std(res2)
plt.plot(x1, res2.fittedvalues, 'r-')
plt.plot(x1, iv_u, 'r--')
plt.plot(x1, iv_l, 'r--')


#compare with robust estimator

resrlm2 = sm.RLM(y2, X).fit()
print "\nRLM: parameter estimates: slope, constant"
print resrlm2.params
print "standard deviation of parameter estimates"
print resrlm2.bse
plt.plot(x1, resrlm2.fittedvalues, 'g.-')
plt.title('Data with Outliers; blue: true, red: OLS, green: RLM')


# see also help(sm.RLM.fit) for more options and
# module sm.robust.scale for scale options

plt.show()