Portfolio Optimization with Nuopt for S-Plus

Instructions for Computing Examples in Robust Statistics: Theory and Methods

The S-PLUS Scripts, Functions and Data Download the files ScriptsRob.zip, FunctionsRob.zip and DataRob.zip.

The script files in ScriptsRob.zip have the same name as the code names used in the book, with the standard script file extensions ssc. It is to be noted that the script file lmRob.fit.compute.new.scc creates a modified version of the function lm.Rob.fit.compute, thereby correcting an error lm.Rob.fit.compute. lm.Rob.fit.compute is used by the function lm.Rob for robust regression. This error correction is particularly important when you use the function step for robust model selection.

The file FunctionsRob.zip contain all the functions that are described in Chapter 11 and which are not in SPLUS.

The file DataRob.zip contains all the datasets used in the book, saved with the S-PLUS function data.dump. The names of these data files are the same as the corresponding script that uses the data, except with the extensions .sdd. There are two exceptions to this rule: the file logregsim.sdd, which is used by the scripts logregsim1.ssc and logregsim2.ssc, and the file ma1.sdd that is used by the script MA1-AO.ssc.

In case you want to use the data we use in the book in another application besides S-PLUS, you should download the file Datatxt.zip, which contains the data in ASCII format.

Organizing Folders for Computing We recommend the following way to organize the S-PLUS scripts, functions and data for carrying out the robust statistics computations that are included in Robust Statistics: Theory and Methods (2006) by Maronna, Martin and Yohai. This recommendation is based on the assumption that you are using a MS Windows system. Create a new Windows folder (directory) called RobustBook, and then create the following three sub-folders (sub-directories): CompRob, FunctionsRob, and DataRob You may use any alternative names you wish for the folders, but for purposes of this discussion we will assume you use the suggested names. Then put the file ScriptsRob.zip in the folder CompRob, put DataRob.zip in the folder DataRob and put the file FunctionsRob.zip in the folder FunctionsRob. Now execute the following three steps:

1. Start S-PLUS in the folder FunctionsRob. Then unzip FunctionsRob.zip in that folder, and run the script load.functions.ssc. This will load all the functions in the .Data sub-folder contained in FunctionsRob. Close S-PLUS. 2. Start S-PLUS in the folder DataRob. Then unzip DataRob.zip in that folder, and run the script load.data.ssc. This will load all the data in the .Data sub-folder contained in DataRob. Close S- PLUS. 3. Start S-PLUS in the folder CompRob, unzip ScriptsRob.zip in that folder. 4. Attach the folders FunctionsRob and DataRob by using File > Chapters > Attach/Create Chapter. Be sure to attach these folders in positions 2 and 3 (either order is fine). You are now ready to use the scripts by just going to File > Open and double- clicking on the script of your choice.

Important Note: The file lm.Rob.fit.compute.new.ssc replaces the function lm.Rob.fit.compute, and lm.Rob.fit.compute.new.ssc must always be in the working directory CompRob. The command source("C:\\CompRob\\lm.Rob.fit.compute.new.ssc") should be run each time that the user starts S-PLUS using a new working directory (with folders DataRob and FunctionsRob attached).