pylmrob 0.5.20

Python port of robustbase::lmrob (MM regression)

pylmrob

Python port of the lmrob MM-estimator from R's robustbase package.

Coefficient agreement with R on the classical validation datasets is within rtol=1e-3 for both estimates and covariance; see docs/numerical-notes.md for known divergences and docs/bench-report.md for wall-clock numbers.

Status: alpha. Public API is provisional.

Install

pip install pylmrob

From source (requires Python 3.10+ and a C compiler):

git clone https://github.com/anevolbap/pyrobustlm
cd pyrobustlm
uv pip install --no-build-isolation -e ".[dev]"
pytest

Quickstart

import pandas as pd
from pylmrob import lmrob, Control

df = pd.read_csv("stackloss.csv")
fit = lmrob(
    "stack.loss ~ Air.Flow + Water.Temp + Acid.Conc.",
    df,
    control=Control(setting="KS2014"),
    seed=42,
)
print(fit.summary())

More: docs/quickstart.md, docs/examples/, docs/porting-from-r.md.

Comparison with statsmodels

statsmodels.robust.RLM implements M-estimators (Huber, Tukey, Hampel) but not MM-estimators. If you need MM (high breakdown + high efficiency), use pylmrob. If plain M is enough, RLM has a more mature API.

Contributing

See CONTRIBUTING.md for the dev setup, test layout, and PR guidelines.

References

• Yohai, V. J. (1987). High Breakdown-Point and High Efficiency Robust Estimates for Regression. Annals of Statistics, 15(2). doi:10.1214/aos/1176350366.
• Salibian-Barrera, M. and Yohai, V. J. (2006). A Fast Algorithm for S-Regression Estimates. JCGS, 15(2). doi:10.1198/106186006X113629.
• Koller, M. and Stahel, W. A. (2011). Sharpening Wald-type Inference in Robust Regression for Small Samples. CSDA, 55(8). doi:10.1016/j.csda.2011.02.014.
• Koller, M. and Stahel, W. A. (2017). Nonsingular Subsampling for Regression S-estimators with Categorical Predictors. Computational Statistics, 32(2). doi:10.1007/s00180-016-0679-x.
• Maronna, R. A. and Yohai, V. J. (2000). Robust regression with both continuous and categorical predictors. JSPI, 89(1-2). doi:10.1016/S0378-3758(99)00208-6.

License and citation

GPL-3.0-or-later, matching robustbase. See LICENSE and NOTICE. Citation metadata in CITATION.cff (GitHub renders a "Cite this repository" button).