I wrote this package in 2006 when the major statistical software companies did not have a robust regression package available. It has been downloaded over 100k times. Using iteratively reweighted least squares (IRLS), the function calculates the optimal weights to perform m-estimator or bounded influence regression. Returns robust beta estimates and prints robust ANOVA table using either a Huber or bisquare function.
Recent changes make the structure of the arguments similar to glm() or lm() and speed has dramatically increased.
Download Robust Regression Package for R
*Updated 8/25/2015 version robustreg_0.1-9
*R functions median(), mad() replaced with faster Rcpp equivalents
*R functions Huber and bisquare replaced with faster Rcpp equivalents
