Fast and Robust Bootstrap for Multivariate Inference: The R Package FRB

Stefan Van Aelst and Gert Willems

Journal of Statistical Software, 2013, vol. 053, issue i03

Abstract: We present the FRB package for R, which implements the fast and robust bootstrap. This method constitutes an alternative to ordinary bootstrap or asymptotic inference procedures when using robust estimators such as S-, MM- or GS-estimators. The package considers three multivariate settings: principal components analysis, Hotelling tests and multivariate regression. It provides both the robust point estimates and uncertainty measures based on the fast and robust bootstrap. In this paper we give some background on the method, discuss the implementation and provide various examples.

Date: 2013-04-21
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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:053:i03

DOI: 10.18637/jss.v053.i03

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