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Introduction to Robust Estimation and
Hypothesis Testing
 Introduction to Robust
Estimation and Hypothesis
Testing
Fifth Edition

Rand R. Wilcox
Professor of Psychology
University of Southern California
Los Angeles, California, United States
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à mon seul œuf
Contents
Preface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xxv
Chapter 1: Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.1 Problems With Assuming Normality. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.2 Transformations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
1.3 The Influence Curve . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.4 The Central Limit Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
1.5 Is the ANOVA F Robust? . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.6 Regression . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
1.7 More Remarks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
1.8 R Software . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
1.9 Some Data Management Issues . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
1.9.1 Eliminating Missing Values . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
1.10 Data Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
Chapter 2: A Foundation for Robust Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
2.1 Basic Tools for Judging Robustness. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
2.1.1 Qualitative Robustness . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
2.1.2 Infinitesimal Robustness . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
2.1.3 Quantitative Robustness . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
2.2 Some Measures of Location and Their Influence Function . . . . . . . . . . . . . . . . . . 31
2.2.1 Quantiles. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
2.2.2 The Winsorized Mean. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
2.2.3 The Trimmed Mean . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
2.2.4 M-Measures of Location . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
2.2.5 R-Measures of Location . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
2.3 Measures of Scale . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
2.4 Scale-Equivariant M-Measures of Location . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
2.5 Winsorized Expected Values . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
Chapter 3: Estimating Measures of Location and Scale . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
3.1 A Bootstrap Estimate of a Standard Error . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
3.1.1 R Function bootse . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47

vii
Contents

3.2 Density Estimators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48

3.2.1 Silverman’s Rule of Thumb . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
3.2.2 Rosenblatt’s Shifted Histogram . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
3.2.3 The Expected Frequency Curve . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
3.2.4 An Adaptive Kernel Estimator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
3.2.5 R Functions skerd, kerSORT, kerden, kdplot, rdplot, akerd, and
splot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
3.3 The Sample Median and Trimmed Mean . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
3.3.1 R Functions mean, tmean, median, and lloc . . . . . . . . . . . . . . . . . . . . . . . . . . 60
3.3.2 Estimating the Standard Error of the Trimmed Mean . . . . . . . . . . . . . . . . 60
3.3.3 Estimating the Standard Error of the Sample Winsorized Mean . . . . . 65
3.3.4 R Functions winmean, winvar, winsd, trimse, and winse . . . . . . . . . . . . 65
3.3.5 Estimating the Standard Error of the Sample Median . . . . . . . . . . . . . . . . 66
3.3.6 R Function msmedse . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
3.4 The Finite Sample Breakdown Point . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
3.5 Estimating Quantiles . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
3.5.1 Estimating the Standard Error of the Sample Quantile . . . . . . . . . . . . . . . 68
3.5.2 R Function qse . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70
3.5.3 The Maritz–Jarrett Estimate of the Standard Error of x̂q . . . . . . . . . . . . . 70
3.5.4 R Function mjse . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
3.5.5 The Harrell–Davis Estimator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72
3.5.6 R Functions qest and hd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
3.5.7 A Bootstrap Estimate of the Standard Error of θ̂q . . . . . . . . . . . . . . . . . . . . 73
3.5.8 R Function hdseb . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
3.6 An M-Estimator of Location . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74
3.6.1 R Function mad . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
3.6.2 Computing an M-Estimator of Location . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
3.6.3 R Function mest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81
3.6.4 Estimating the Standard Error of the M-Estimator . . . . . . . . . . . . . . . . . . . 82
3.6.5 R Function mestse. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84
3.6.6 A Bootstrap Estimate of the Standard Error of μ̂m . . . . . . . . . . . . . . . . . . . 84
3.6.7 R Function mestseb . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85
3.7 One-Step M-Estimator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85
3.7.1 R Function onestep . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
3.8 W-Estimators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
3.8.1 Tau Measure of Location . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
3.8.2 R Function tauloc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88
3.8.3 Zuo’s Weighted Estimator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88
3.9 The Hodges–Lehmann Estimator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89
3.10 Skipped Estimators. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89
3.10.1 R Functions mom, zwe, and bmean . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 90

viii
 Contents

3.11 Some Comparisons of the Location Estimators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 90

3.12 More Measures of Scale . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93
3.12.1 The Biweight Midvariance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94
3.12.2 R Function bivar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95
3.12.3 The Percentage Bend Midvariance and tau Measure of Variation . . . 96
3.12.4 R Functions pbvar and tauvar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98
3.12.5 The Interquartile Range . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99
3.12.6 R Functions idealf, idrange, idealfIQR, and quantile. . . . . . . . . . . . . . . . . 99
3.13 Some Outlier Detection Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100
3.13.1 Rules Based on Means and Variances . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100
3.13.2 A Method Based on the Interquartile Range . . . . . . . . . . . . . . . . . . . . . . . . . . 101
3.13.3 Carling’s Modification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101
3.13.4 A MAD-Median Rule . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
3.13.5 R Functions outbox, out, and boxplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
3.13.6 R Functions adjboxout and adjbox . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104
3.14 Exercises. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105
Chapter 4: Inferences in the One-Sample Case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107
4.1 Problems When Working With Means . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107
4.1.1 P-Values and Testing for Equality: Hypothesis Testing Versus
Decision Making . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111
4.2 The g-and-h Distribution. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112
4.2.1 R Functions ghdist, rmul, rngh, rmul.MAR, ghtrim, and gskew . . . . . 115
4.3 Inferences About the Trimmed, Winsorized Means . . . . . . . . . . . . . . . . . . . . . . . . . . 116
4.3.1 Comments on Effect Size and Non-Normal Distributions . . . . . . . . . . . 120
4.3.2 R Functions trimci, winci, D.akp.effect.ci, and depQSci. . . . . . . . . . . . . 121
4.4 Basic Bootstrap Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122
4.4.1 The Percentile Bootstrap Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122
4.4.2 R Functions onesampb and hdpb . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124
4.4.3 Bootstrap-t Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125
4.4.4 Bootstrap Methods When Using a Trimmed Mean. . . . . . . . . . . . . . . . . . . 126
4.4.5 Singh’s Modification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 131
4.4.6 R Functions trimpb and trimcibt. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 131
4.5 Inferences About M-Estimators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 132
4.5.1 R Functions mestci and momci . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134
4.6 Confidence Intervals for Quantiles . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135
4.6.1 Beware of Tied Values When Making Inferences About Quantiles . 137
4.6.2 A Modification of the Distribution-Free Method for the Median . . . . 138
4.6.3 R Functions qmjci, hdci, sint, sintv2, qci, qcipb, and qint . . . . . . . . . . . 140
4.7 Empirical Likelihood . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141
4.8 Inferences About the Probability of Success . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144

ix
Contents

4.8.1 R Functions binom.conf.pv and cat.dat.ci. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 147

4.9 Concluding Remarks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 149
4.10 Exercises. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 150
Chapter 5: Comparing Two Groups . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153
5.1 The Shift Function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 155
5.1.1 The Kolmogorov–Smirnov Test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157
5.1.2 R Functions ks, kssig, kswsig, and kstiesig . . . . . . . . . . . . . . . . . . . . . . . . . . . 160
5.1.3 Confidence Bands for the Shift Function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 161
5.1.4 R Functions sband and wband . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163
5.1.5 Confidence Band for Specified Quantiles . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 165
5.1.6 R Functions shifthd, qcomhd, qcomhdMC, and q2gci . . . . . . . . . . . . . . . 168
5.1.7 R Functions g2plot and g5plot. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 170
5.2 Student’s T Test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 171
5.3 Comparing Medians and Other Trimmed Means . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 174
5.3.1 R Functions yuen and msmed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 178
5.3.2 A Bootstrap-t Method for Comparing Trimmed Means . . . . . . . . . . . . . . 179
5.3.3 R Functions yuenbt and yhbt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 182
5.3.4 Measuring Effect Size. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 184
5.3.5 R Functions ESfun, akp.effect.ci, KMS.ci, ees.ci, med.effect, qhat,
and qshift . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 191
5.4 Inferences Based on a Percentile Bootstrap Method . . . . . . . . . . . . . . . . . . . . . . . . . 193
5.4.1 Comparing M-Estimators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 195
5.4.2 Comparing Trimmed Means and Medians . . . . . . . . . . . . . . . . . . . . . . . . . . . . 196
5.4.3 R Functions trimpb2, pb2gen, medpb2, and M2gbt . . . . . . . . . . . . . . . . . . 197
5.5 Comparing Measures of Scale . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 198
5.5.1 Comparing Variances . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 198
5.5.2 R Functions comvar2 and varcom.IND.MP. . . . . . . . . . . . . . . . . . . . . . . . . . . 200
5.5.3 Comparing Biweight Midvariances and Deviations From the
Median . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 200
5.5.4 R Functions b2ci, comvar.locdis, and g5.cen.plot . . . . . . . . . . . . . . . . . . . . 201
5.6 Permutation Tests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 202
5.6.1 R Function permg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 203
5.7 Methods Based on Ranks and the Typical Difference . . . . . . . . . . . . . . . . . . . . . . . . 203
5.7.1 The Cliff and Brunner–Munzel Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 205
5.7.2 A Quantile Shift Measure of Effect Size Based on the Typical
Difference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 211
5.7.3 R Functions cidv2, bmp, wmwloc, wmwpb, loc2plot, shiftQSci,
akp.effec.ci, ES.summary, ES.summary.CI, ES.sum.REL.MAG, and
loc.dif.summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 211
5.8 Comparing Two Independent Binomial and Multinomial Distributions . . . . 216

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5.8.1 R Functions binom2g and bi2CR. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 219

5.8.2 Comparing Discrete (Multinomial) Distributions . . . . . . . . . . . . . . . . . . . . 220
5.8.3 R Functions binband, splotg5, and cumrelf . . . . . . . . . . . . . . . . . . . . . . . . . . . 220
5.9 Comparing Dependent Groups . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 222
5.9.1 A Shift Function for Dependent Groups . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 223
5.9.2 R Function lband . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225
5.9.3 Comparing Specified Quantiles . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225
5.9.4 R Functions shiftdhd, Dqcomhd, qdec2ci, Dqdif, and difQpci . . . . . . 228
5.9.5 Comparing Trimmed Means . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 230
5.9.6 R Function yuend . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 232
5.9.7 A Bootstrap-t Method for Marginal Trimmed Means . . . . . . . . . . . . . . . . 234
5.9.8 R Function ydbt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 234
5.9.9 Inferences About the Typical Difference. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 235
5.9.10 R Functions loc2dif, l2drmci, and dep.dif.fun . . . . . . . . . . . . . . . . . . . . . . . . 235
5.9.11 Percentile Bootstrap: Comparing Medians, M-Estimators, and Other
Measures of Location and Scale . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 237
5.9.12 R Functions two.dep.pb and bootdpci . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 238
5.9.13 Handling Missing Values . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 240
5.9.14 R Functions rm2miss and rmmismcp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 243
5.9.15 Comparing Variances and Robust Measures of Scale . . . . . . . . . . . . . . . . 244
5.9.16 R Functions comdvar, rmVARcom, and RMcomvar.locdis . . . . . . . . . . 246
5.9.17 The Sign Test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 246
5.9.18 R Function signt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 247
5.9.19 Effect Size for Dependent Groups. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 247
5.9.20 R Function dep.ES.summary.CI . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 248
5.10 Exercises. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 248
Chapter 6: Some Multivariate Methods. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 253
6.1 Generalized Variance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 253
6.2 Depth . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 254
6.2.1 Mahalanobis Depth . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 254
6.2.2 Halfspace Depth . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 254
6.2.3 Computing Halfspace Depth. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 256
6.2.4 R Functions depth2, depth, fdepth, fdepthv2, and unidepth. . . . . . . . . . 259
6.2.5 Projection Depth . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 260
6.2.6 R Functions pdis, pdisMC, and pdepth. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 261
6.2.7 More Measures of Depth . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 262
6.2.8 R Functions zdist, zoudepth prodepth, Bagdist, bagdepth, and
zonoid . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 263
6.3 Some Affine Equivariant Estimators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 264
6.3.1 Minimum Volume Ellipsoid Estimator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 265

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6.3.2 The Minimum Covariance Determinant Estimator . . . . . . . . . . . . . . . . . . . 266

6.3.3 S-Estimators and Constrained M-Estimators . . . . . . . . . . . . . . . . . . . . . . . . . 267
6.3.4 R Functions tbs, DETS, and DETMCD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 268
6.3.5 Donoho–Gasko Generalization of a Trimmed Mean . . . . . . . . . . . . . . . . . 269
6.3.6 R Functions dmean and dcov . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 270
6.3.7 The Stahel–Donoho W-Estimator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 270
6.3.8 R Function sdwe . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 271
6.3.9 Median Ball Algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 272
6.3.10 R Function rmba . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 272
6.3.11 OGK Estimator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 272
6.3.12 R Function ogk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 274
6.3.13 An M-Estimator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 274
6.3.14 R Functions MARest and dmedian . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 275
6.4 Multivariate Outlier Detection Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 275
6.4.1 The Relplot and Bagplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 277
6.4.2 R Functions relplot and Bagplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 279
6.4.3 The MVE Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 280
6.4.4 Methods MCD, DETMCD, and DDC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 281
6.4.5 R Functions covmve and covmcd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 281
6.4.6 R Functions out and outogk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 282
6.4.7 The MGV Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 283
6.4.8 R Function outmgv . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 285
6.4.9 A Projection Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 286
6.4.10 R Functions outpro and out3d . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 288
6.4.11 Outlier Identification in High Dimensions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 289
6.4.12 R Functions outproad and outmgvad . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 290
6.4.13 Methods Designed for Functional Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 290
6.4.14 R Functions FBplot, Flplot, medcurve, func.out, spag.plot, funloc,
and funlocpb . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 292
6.4.15 Comments on Choosing an Outlier Detection Method . . . . . . . . . . . . . . . 295
6.5 A Skipped Estimator of Location and Scatter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 296
6.5.1 R Functions smean, mgvmean, L1medcen, spat, mgvcov, skip, and
skipcov . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 298
6.6 Robust Generalized Variance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 299
6.6.1 R Function gvarg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 300
6.7 Multivariate Location: Inference in the One-Sample Case . . . . . . . . . . . . . . . . . . . 300
6.7.1 Inferences Based on the OP Measure of Location . . . . . . . . . . . . . . . . . . . . 300
6.7.2 Extension of Hotelling’s T 2 to Trimmed Means . . . . . . . . . . . . . . . . . . . . . 302
6.7.3 R Functions smeancrv2 and hotel1.tr . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 302
6.7.4 Inferences Based on the MGV Estimator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 304
6.7.5 R Function smgvcr . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 304

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6.8 The Two-Sample Case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 304

6.8.1 Independent Case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 304
6.8.2 Comparing Dependent Groups . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 306
6.8.3 R Functions smean2, mul.loc2g, MUL.ES.sum, Dmul.loc2g,
matsplit, and mat2grp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 306
6.8.4 Comparing Robust Generalized Variances . . . . . . . . . . . . . . . . . . . . . . . . . . . . 309
6.8.5 R Function gvar2g. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 309
6.8.6 Rank-Based Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 309
6.8.7 R Functions mulrank, cmanova, and cidMULT . . . . . . . . . . . . . . . . . . . . . . 310
6.9 Multivariate Density Estimators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 311
6.10 A Two-Sample, Projection-Type Extension of the Wilcoxon–
Mann–Whitney Test. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 312
6.10.1 R Functions mulwmw and mulwmwv2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 314
6.11 A Relative Depth Analog of the Wilcoxon–Mann–Whitney Test . . . . . . . . . . . 315
6.11.1 R Function mwmw . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 317
6.12 Comparisons Based on Depth . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 319
6.12.1 R Functions lsqs3 and depthg2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 321
6.13 Comparing Dependent Groups Based on All Pairwise Differences . . . . . . . . . 323
6.13.1 R Function dfried. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 324
6.14 Robust Principal Component Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 325
6.14.1 R Functions prcomp and regpca . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 327
6.14.2 Maronna’s Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 328
6.14.3 The SPCA Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 328
6.14.4 Methods HRVB and MacroPCA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 328
6.14.5 Method OP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 329
6.14.6 Method PPCA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 329
6.14.7 R Functions outpca, robpca, robpcaS, SPCA, Ppca, and
Ppca.summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 330
6.14.8 Comments on Choosing the Number of Components . . . . . . . . . . . . . . . . 332
6.15 Cluster Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 337
6.15.1 R Functions Kmeans, kmeans.grp, TKmeans, and TKmeans.grp . . . 337
6.16 Classification Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 338
6.16.1 Some Issues Related to Error Rates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 342
6.16.2 R Functions CLASS.fun, CLASS.bag, class.error.com, and menES 344
6.17 Exercises. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 348
Chapter 7: One-Way and Higher Designs for Independent Groups . . . . . . . . . . . . . . . . 351
7.1 Trimmed Means and a One-Way Design. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 352
7.1.1 A Welch-Type Procedure and a Robust Measure of Effect Size . . . . . 353
7.1.2 R Functions t1way, t1wayv2, t1way.EXES.ci, KS.ANOVA.ES,
fac2list, t1wayF, and ESprodis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 356

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7.1.3 A Generalization of Box’s Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 360

7.1.4 R Function box1way . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 361
7.1.5 Comparing Medians and Other Quantiles. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 362
7.1.6 R Functions med1way and Qanova . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 363
7.1.7 Bootstrap-t Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 364
7.1.8 R Functions t1waybt, btrim, and t1waybtsqrk . . . . . . . . . . . . . . . . . . . . . . . . 365
7.2 Two-Way Designs and Trimmed Means . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 367
7.2.1 R Functions t2way and bb.es.main . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 370
7.2.2 Comparing Medians. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 373
7.2.3 R Functions med2way and Q2anova . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 375
7.3 Three-Way Designs, Trimmed Means, and Medians . . . . . . . . . . . . . . . . . . . . . . . . . 375
7.3.1 R Functions t3way, fac2list, and Q3anova . . . . . . . . . . . . . . . . . . . . . . . . . . . . 377
7.4 Multiple Comparisons Based on Medians and Other Trimmed Means. . . . . . 380
7.4.1 Basic Methods Based on Trimmed Means . . . . . . . . . . . . . . . . . . . . . . . . . . . . 381
7.4.2 R Functions lincon, conCON, IND.PAIR.ES, and stepmcp. . . . . . . . . . 383
7.4.3 Multiple Comparisons for Two-Way and Three-Way Designs. . . . . . . 390
7.4.4 R Functions bbmcp, RCmcp, mcp2med, twoway.pool, bbbmcp,
mcp3med, con2way, and con3way . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 391
7.4.5 A Bootstrap-t Procedure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 394
7.4.6 R Functions linconbt, bbtrim, and bbbtrim . . . . . . . . . . . . . . . . . . . . . . . . . . . 396
7.4.7 Controlling the Familywise Error Rate: Improvements on the
Bonferroni Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 397
7.4.8 R Functions p.adjust and mcpKadjp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 401
7.4.9 Percentile Bootstrap Methods for Comparing Medians, Other
Trimmed Means, and Quantiles . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 402
7.4.10 R Functions linconpb, bbmcppb, bbbmcppb, medpb, Qmcp,
med2mcp, med3mcp, and q2by2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 402
7.4.11 Deciding Which Group Has the Largest Measure of Location . . . . . . 405
7.4.12 R Functions anc.best.PV, anc.bestpb, PMD.PCD, RS.LOC.IZ,
best.DO, and bestPB.DO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 410
7.4.13 Determining the Order of the Population Trimmed Means . . . . . . . . . . 411
7.4.14 R Function ord.loc.PV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 412
7.4.15 Judging Sample Sizes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 412
7.4.16 R Function hochberg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 413
7.4.17 Measures of Effect Size: Two-Way and Higher Designs . . . . . . . . . . . . . 414
7.4.18 R Functions twowayESM, RCES, interES.2by2, interJK.ESmul, and
IND.INT.DIF.ES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 415
7.4.19 Comparing Curves (Functional Data) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 416
7.4.20 R Functions funyuenpb and Flplot2g . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 417
7.4.21 Comparing Variances and Robust Measures of Scale . . . . . . . . . . . . . . . . 418
7.4.22 R Functions comvar.mcp and robVARcom.mcp . . . . . . . . . . . . . . . . . . . . . . 418

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7.5 A Random Effects Model for Trimmed Means . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 418

7.5.1 A Winsorized Intraclass Correlation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 419
7.5.2 R Function rananova . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 422
7.6 Bootstrap Global Tests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 422
7.6.1 R Functions b1way, pbadepth, and boot.TM . . . . . . . . . . . . . . . . . . . . . . . . . 426
7.6.2 M-Estimators and Multiple Comparisons . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 428
7.6.3 R Functions linconm and pbmcp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 431
7.6.4 M-Estimators and the Random Effects Model . . . . . . . . . . . . . . . . . . . . . . . . 431
7.6.5 Other Methods for One-Way Designs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 432
7.7 M-Measures of Location and a Two-Way Design . . . . . . . . . . . . . . . . . . . . . . . . . . . . 432
7.7.1 R Functions pbad2way and mcp2a . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 434
7.8 Ranked-Based Methods for a One-Way Design . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 435
7.8.1 The Rust–Fligner Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 436
7.8.2 R Function rfanova . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 437
7.8.3 A Rank-Based Method That Allows Tied Values. . . . . . . . . . . . . . . . . . . . . 438
7.8.4 R Function bdm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 439
7.8.5 Inferences About a Probabilistic Measure of Effect Size . . . . . . . . . . . . 439
7.8.6 R Functions cidmulv2, wmwaov, and cidM . . . . . . . . . . . . . . . . . . . . . . . . . . 441
7.9 A Rank-Based Method for a Two-Way Design . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 442
7.9.1 R Function bdm2way . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 444
7.9.2 The Patel–Hoel, De Neve–Thas, and Related Approaches to
Interactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 444
7.9.3 R Functions rimul, inter.TDES, LCES, linplot, and plot.inter . . . . . . . 447
7.10 MANOVA Based on Trimmed Means . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 449
7.10.1 R Functions MULtr.anova, MULAOVp, fac2Mlist, and YYmanova 451
7.10.2 Linear Contrasts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 453
7.10.3 R Functions linconMpb, linconSpb, YYmcp, and fac2BBMlist . . . . . 455
7.11 Nested Designs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 457
7.11.1 R Functions anova.nestA, mcp.nestAP, and anova.nestAP. . . . . . . . . . . 460
7.12 Methods for Binary Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 461
7.12.1 R Functions lincon.bin and binpair . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 462
7.12.2 Identifying the Group With the Highest Probability of Success . . . . . 462
7.12.3 R Functions bin.best, bin.best.DO, and bin.PMD.PCD . . . . . . . . . . . . . . 463
7.13 Exercises. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 463
Chapter 8: Comparing Multiple Dependent Groups . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 467
8.1 Comparing Trimmed Means . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 467
8.1.1 Omnibus Test Based on the Trimmed Means of the Marginal
Distributions Plus a Measure of Effect Size . . . . . . . . . . . . . . . . . . . . . . . . . . 467
8.1.2 R Functions rmanova and rmES.pro . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 468

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8.1.3 Pairwise Comparisons and Linear Contrasts Based on Trimmed

Means . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 471
8.1.4 Linear Contrasts Based on the Marginal Random Variables . . . . . . . . . 473
8.1.5 R Functions rmmcp, rmmismcp, trimcimul, wwlin.es,
deplin.ES.summary.CI, and boxdif . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 474
8.1.6 Judging the Sample Size . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 476
8.1.7 R Functions stein1.tr and stein2.tr . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 477
8.1.8 Identifying the Group With the Largest Population Measure of
Location . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 477
8.1.9 Identifying the Variable With the Smallest Robust Measure of
Variation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 478
8.1.10 R Functions comdvar.mcp, ID.sm.varPB, rmbestVAR.DO,
rmanc.best.PV, RM.PMD.PCD, rmanc.best.PB, RMPB.PMD.PCD,
and rmanc.best.DO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 479
8.2 Bootstrap Methods Based on Marginal Distributions . . . . . . . . . . . . . . . . . . . . . . . . 481
8.2.1 Comparing Trimmed Means . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 481
8.2.2 R Function rmanovab . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 482
8.2.3 Multiple Comparisons Based on Trimmed Means . . . . . . . . . . . . . . . . . . . 482
8.2.4 R Functions pairdepb and bptd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 484
8.2.5 Percentile Bootstrap Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 485
8.2.6 R Functions bd1way and ddep. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 489
8.2.7 Multiple Comparisons Using M-Estimators or Skipped Estimators . 490
8.2.8 R Functions lindm and mcpOV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 492
8.2.9 Comparing Robust Measures of Scatter. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 493
8.2.10 R Function rmrvar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 494
8.3 Bootstrap Methods Based on Difference Scores and a Measure of Effect
Size . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 494
8.3.1 R Functions rmdzero and rmES.dif.pro . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 495
8.3.2 Multiple Comparisons . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 497
8.3.3 R Functions rmmcppb, wmcppb, dmedpb, lindepbt, and qdmcpdif . 498
8.3.4 Measuring Effect Size: R Function DEP.PAIR.ES . . . . . . . . . . . . . . . . . . . 500
8.3.5 Comparing Multinomial Cell Probabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . 501
8.3.6 R Functions cell.com, cell.com.pv, and best.cell.DO. . . . . . . . . . . . . . . . . 501
8.4 Comments on Which Method to Use . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 502
8.5 Some Rank-Based Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 504
8.5.1 R Functions apanova and bprm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 506
8.6 Between-by-Within and Within-by-Within Designs. . . . . . . . . . . . . . . . . . . . . . . . . . 506
8.6.1 Analyzing a Between-by-Within Design Based on Trimmed Means 507
8.6.2 R Functions bwtrim, bw.es.main, and tsplit. . . . . . . . . . . . . . . . . . . . . . . . . . . 509
8.6.3 Data Management: R Function bw2list . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 511
8.6.4 Bootstrap-t Method for a Between-by-Within Design . . . . . . . . . . . . . . . 512

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8.6.5 R Functions bwtrimbt and tsplitbt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 513

8.6.6 Percentile Bootstrap Methods for a Between-by-Within Design . . . . 514
8.6.7 R Functions sppba, sppbb, and sppbi. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 516
8.6.8 Multiple Comparisons . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 517
8.6.9 R Functions bwmcp, bwmcppb, bwmcppb.adj, bwamcp, bw.es.A,
bw.es.B, bwbmcp, bw.es.I, bwimcp, bwimcpES, spmcpa, spmcpb,
spmcpbA, and spmcpi. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 520
8.6.10 Within-by-Within Designs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 524
8.6.11 R Functions wwtrim, wwtrimbt, wwmcp, wwmcppb, wwmcpbt,
ww.es, wwmed, and dlinplot. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 525
8.6.12 A Rank-Based Approach . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 526
8.6.13 R Function bwrank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 530
8.6.14 Rank-Based Multiple Comparisons . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 532
8.6.15 R Function bwrmcp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 532
8.6.16 Multiple Comparisons When Using a Patel–Hoel Approach to
Interactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 532
8.6.17 R Function BWPHmcp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 533
8.7 Three-Way Designs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 533
8.7.1 Global Tests Based on Trimmed Means . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 533
8.7.2 R Functions bbwtrim, bwwtrim, wwwtrim, bbwtrimbt, bwwtrimbt,
wwwtrimbt, and wwwmed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 534
8.7.3 Data Management: R Functions bw2list and bbw2list . . . . . . . . . . . . . . . 535
8.7.4 Multiple Comparisons . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 536
8.7.5 R Functions wwwmcp, bbwmcp, bwwmcp, bbwmcppb, bwwmcppb,
wwwmcppb, and wwwmcppbtr . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 537
8.8 Exercises. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 538
Chapter 9: Correlation and Tests of Independence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 541
9.1 Problems With Pearson’s Correlation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 541
9.1.1 Features of Data That Affect r and T . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 544
9.1.2 Heteroscedasticity and the Classic Test That ρ = 0 . . . . . . . . . . . . . . . . . . 546
9.2 Two Types of Robust Correlations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 546
9.3 Some Type M Measures of Correlation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 546
9.3.1 The Percentage Bend Correlation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 547
9.3.2 A Test of Independence Based on ρpb . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 549
9.3.3 R Function pbcor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 549
9.3.4 A Test of Zero Correlation Among p Random Variables. . . . . . . . . . . . . 550
9.3.5 R Function pball. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 551
9.3.6 The Winsorized Correlation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 553
9.3.7 R Function wincor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 554
9.3.8 The Biweight Midcovariance and Correlation . . . . . . . . . . . . . . . . . . . . . . . . 555

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9.3.9 R Functions bicov and bicovm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 556

9.3.10 Kendall’s tau. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 557
9.3.11 Spearman’s rho . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 558
9.3.12 R Functions tau, spear, cor, taureg, COR.ROB, and COR.PAIR. . . . . 558
9.3.13 Heteroscedastic Tests of Zero Correlation . . . . . . . . . . . . . . . . . . . . . . . . . . . . 560
9.3.14 R Functions corb, corregci, pcorb, pcorhc4, and rhohc4bt . . . . . . . . . . . 562
9.4 Some Type O Correlations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 563
9.4.1 MVE and MCD Correlations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 563
9.4.2 Skipped Measures of Correlation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 564
9.4.3 The OP Correlation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 564
9.4.4 Inferences Based on Multiple Skipped Correlations . . . . . . . . . . . . . . . . . 565
9.4.5 R Functions scor, scorall, scorci, mscorpb, mscorci, mscorciH,
scorreg, scorregci, and scorregciH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 567
9.5 A Test of Independence Sensitive to Curvature. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 569
9.5.1 R Functions indt, indtall, and medind . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 571
9.6 Comparing Correlations: Independent Case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 572
9.6.1 Comparing Pearson Correlations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 573
9.6.2 Comparing Robust Correlations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 573
9.6.3 R Functions twopcor, tworhobt, and twocor . . . . . . . . . . . . . . . . . . . . . . . . . . 574
9.7 Exercises. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 574
Chapter 10: Robust Regression . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 577
10.1 Problems With Ordinary Least Squares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 579
10.1.1 Computing Confidence Intervals Under Heteroscedasticity . . . . . . . . . 581
10.1.2 An Omnibus Test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 586
10.1.3 R Functions lsfitci, olshc4, hc4test, and hc4wtest . . . . . . . . . . . . . . . . . . . . 587
10.1.4 Comments on Comparing Means via Dummy Coding . . . . . . . . . . . . . . . 590
10.1.5 Salvaging the Homoscedasticity Assumption. . . . . . . . . . . . . . . . . . . . . . . . . 590
10.2 The Theil–Sen Estimator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 590
10.2.1 R Functions tsreg, tshdreg, correg, regplot, and regp2plot . . . . . . . . . . . 594
10.3 Least Median of Squares. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 595
10.3.1 R Function lmsreg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 595
10.4 Least Trimmed Squares Estimator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 596
10.4.1 R Function ltsreg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 596
10.5 Least Trimmed Absolute Value Estimator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 596
10.5.1 R Function ltareg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 597
10.6 M-Estimators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 597
10.7 The Hat Matrix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 598
10.8 Generalized M-Estimators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 601
10.8.1 R Function bmreg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 604
10.9 The Coakley–Hettmansperger and Yohai Estimators. . . . . . . . . . . . . . . . . . . . . . . . . 605

xviii
 Contents

10.9.1 MM-Estimator. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 607

10.9.2 R Functions chreg and MMreg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 608
10.10 Skipped Estimators. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 609
10.10.1 R Functions mgvreg and opreg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 609
10.11 Deepest Regression Line. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 610
10.11.1 R Functions rdepth.orig, Rdepth, mdepreg.orig, and mdepreg. . . . . . . 611
10.12 A Criticism of Methods With a High Breakdown Point. . . . . . . . . . . . . . . . . . . . . . 611
10.13 Some Additional Estimators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 612
10.13.1 S-Estimators and τ -Estimators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 612
10.13.2 R Functions snmreg and stsreg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 613
10.13.3 E-Type Skipped Estimators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 614
10.13.4 R Functions mbmreg, tstsreg, tssnmreg, and gyreg. . . . . . . . . . . . . . . . . . . 615
10.13.5 Methods Based on Robust Covariances . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 616
10.13.6 R Functions bireg, winreg, and COVreg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 619
10.13.7 L-Estimators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 620
10.13.8 L1 and Quantile Regression . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 620
10.13.9 R Functions qreg, rqfit, and qplotreg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 621
10.13.10 Methods Based on Estimates of the Optimal Weights. . . . . . . . . . . . . . . . 622
10.13.11 Projection Estimators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 622
10.13.12 Methods Based on Ranks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 623
10.13.13 R Functions Rfit and Rfit.est. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 624
10.13.14 Empirical Likelihood Type and Distance-Constrained Maximum
Likelihood Estimators. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 625
10.13.15 Ridge Estimators: Dealing With Multicollinearity . . . . . . . . . . . . . . . . . . . 625
10.13.16 R Functions ols.ridge, rob.ridge, and rob.ridge.liu . . . . . . . . . . . . . . . . . . . 627
10.13.17 Robust Elastic Net and Lasso Estimators: Reducing the Number of
Independent Variables. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 628
10.13.18 R Functions lasso.est, lasso.rep, RA.lasso, LAD.lasso, H.lasso,
HQreg, and LTS.EN. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 630
10.14 Comments About Various Estimators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 631
10.14.1 Contamination Bias . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 632
10.15 Outlier Detection Based on a Robust Fit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 637
10.15.1 Detecting Regression Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 638
10.15.2 R Functions reglev and rmblo . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 638
10.16 Logistic Regression and the General Linear Model . . . . . . . . . . . . . . . . . . . . . . . . . . 640
10.16.1 R Functions glm, logreg, logreg.pred, wlogreg, logreg.plot,
logreg.P.ci, and logistic.lasso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 641
10.16.2 The General Linear Model. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 643
10.16.3 R Function glmrob . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 643
10.17 Multivariate Regression . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 644
10.17.1 The RADA Estimator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 645

xix
Contents

10.17.2 The Least Distance Estimator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 646

10.17.3 R Functions MULMreg, mlrreg, and Mreglde . . . . . . . . . . . . . . . . . . . . . . . . 647
10.17.4 Multivariate Least Trimmed Squares Estimator . . . . . . . . . . . . . . . . . . . . . . 648
10.17.5 R Function MULtsreg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 649
10.17.6 Other Robust Estimators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 649
10.18 Exercises. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 649
Chapter 11: More Regression Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 653
11.1 Inferences About Robust Regression Parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 653
11.1.1 Omnibus Tests for Regression Parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . . 654
11.1.2 R Functions regtest, ridge.test and ridge.Gtest . . . . . . . . . . . . . . . . . . . . . . . 660
11.1.3 Inferences About Individual Parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 662
11.1.4 R Functions regci, regciMC and wlogregci . . . . . . . . . . . . . . . . . . . . . . . . . . . 663
11.1.5 Methods Based on the Quantile Regression Estimator . . . . . . . . . . . . . . . 665
11.1.6 R Functions rqtest, qregci, and qrchk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 667
11.1.7 Inferences Based on the OP-Estimator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 669
11.1.8 R Functions opregpb and opregpbMC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 670
11.1.9 Hypothesis Testing When Using a Multivariate Regression
Estimator RADA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 670
11.1.10 R Function mlrGtest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 671
11.1.11 Robust ANOVA via Dummy Coding. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 672
11.1.12 Confidence Bands for the Typical Value of y, Given x . . . . . . . . . . . . . . . 672
11.1.13 R Functions regYhat, regYci, and regYband . . . . . . . . . . . . . . . . . . . . . . . . . 674
11.1.14 R Function regse . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 676
11.2 Comparing the Regression Parameters of J ≥ 2 Groups . . . . . . . . . . . . . . . . . . . . . 676
11.2.1 Methods for Comparing Independent Groups . . . . . . . . . . . . . . . . . . . . . . . . 676
11.2.2 R Functions reg2ci, reg1way, reg1wayISO, ancGpar, ols1way,
ols1wayISO, olsJmcp, olsJ2, reg1mcp, and olsWmcp . . . . . . . . . . . . . . . 682
11.2.3 Methods for Comparing Two Dependent Groups . . . . . . . . . . . . . . . . . . . . 687
11.2.4 R Functions DregG, difreg, and DregGOLS . . . . . . . . . . . . . . . . . . . . . . . . . . 689
11.3 Detecting Heteroscedasticity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 690
11.3.1 A Quantile Regression Approach . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 690
11.3.2 The Koenker–Bassett Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 691
11.3.3 R Functions qhomt and khomreg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 691
11.4 Curvature and Half-Slope Ratios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 692
11.4.1 R Function hratio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 693
11.5 Curvature and Non-Parametric Regression . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 695
11.5.1 Smoothers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 696
11.5.2 Kernel Estimators and Cleveland’s LOWESS . . . . . . . . . . . . . . . . . . . . . . . . 696
11.5.3 R Functions lplot, lplot.pred, and kerreg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 698
11.5.4 The Running-Interval Smoother . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 700

xx
Another random document with
no related content on Scribd:
had married a seafaring youth, and borne him one fair child. Her
husband was returning from a distant voyage; had entered the sea of
Solway; his native hills—his own home—rose to his view, and he saw
the light streaming from the little chamber window, where his wife
and his sweet child sat awaiting his return. But it was not written
that they were to meet again in life. She heard the sweep of a
whirlwind, and she heard a shriek, and going to her chamber-door,
she saw the ship sinking, and her husband struggling in the agitated
water. It is needless to lengthen a sorrowful story: she now threw
herself weeping over his grave, and poured out the following wail:—
“He was the fairest among men, yet the sea swept him away: he
was the kindest hearted, yet he was not to remain. What were all
other men compared to him,—his long curling hair, and his sweet
hazel eyes, and his kind and gladsome tongue? He loved me long,
and he won me from many rivals; for who could see his face, and not
love him? who could listen to his speech, and refuse him aught?
When he danced, maids stood round, and thought his feet made
richer music than the instruments. When he sang, the maids and
matrons blessed him; and high-born dames loved the song of my
frank and gentle sailor. But there is no mercy in the ocean for the
sons of men; and there is nought but sorrow for their daughters. Men
go gray-headed to the grave, who, had they trusted the unstable
deeps, would have perished in their prime, and left fatherless babes,
and sorrowing widows. Alas, alas! in lonely night, on this eerie spot,
on thy low and early grave, I pour forth my heart! Who now shall
speak peace to my mind, and open the latch of my little lonely home
with thy kind and anxious hand? Who now shall dandle my sweet
babe on his knee, or love to go with me to kirk and to preaching,—to
talk over our old tales of love and courtship,—of the secret tryst and
the bridal joy!”
And, concluding her melancholy chant, she looked sorrowfully and
steadfastly at the grave, and recommenced anew her wailing and her
tears.
The widow’s grief endured so long that the moon began to make
her approach manifest by shooting up a long and a broad stream of
thin, lucid, and trembling light over the eastern ridge of the
Cumberland hills. She rose from her knees, shed back her moist and
disordered locks, showing a face pale but lovely, while the watery
light of two large dark eyes, of liquid and roving blue, was cast
mournfully on the way homewards, down which she now turned her
steps to be gone. Of what passed in the pastor’s mind at this
moment, tradition, which sometimes mocks, and at other times
deifies, the feelings of men, gives a very unsatisfactory account. He
saw the hour of appointment with his shadowy messenger from the
other world arrive and pass without his appearance; and he was
perhaps persuaded that the pure, and pious, and overflowing grief of
the fair young widow had prevented the intrusion of a form so
ungracious and unholy. As she advanced from the burial-ground, the
pastor of her parish stood mute and sorrowful before her. She passed
him as one not wishing to be noticed, and glided along the path with
a slow step and a downcast eye.
She had reached the side of a little lonely stream, which glided half
seen, half hid, underneath its banks of broom and honeysuckle,
sprinkled at that hour with wild daisies, and spotted with primroses
—when the voice of Ezra reached her ears. She made a full stop, like
one who hears something astounding, and turned round on the
servant of the altar a face radiant with tears, to which her tale of woe,
and the wild and lonely place, added an interest and a beauty.
“Young woman,” he began, “it is unseemly in thee to bewail thy
loss at this lonely hour, and in this dreary spot: the youth was given
to thee, and ye became vain. I remarked the pride of thy looks, and
the gaudiness of thine apparel, even in the house of holiness; he is
taken from thee, perhaps, to punish thy pride. There is less meekness
in thy sorrow than there was reason in thy joy; but be ye not
discomforted.”
Here the weeping lady turned the sidelong glance of her swimming
eyes on Ezra, shed back the locks which usurped a white brow and
snowy temples, and folding her hands over a bosom, the throbbings
of which made the cambric that concealed it undulate like water,
stood still, and drank in his words of comfort and condolence.
Tradition always conducts Ezra and the mariner’s widow to this
seldom frequented place. A hundred and a hundred times have I
mused over the scene in sunlight and moonlight; a hundred and a
hundred times have I hearkened to the wild and variable accounts of
the peasantry, and sought to make bank, and bush, and stream, and
tree assist in unravelling the mystery which must still hang over the
singular and tragic catastrophe. Standing in this romantic place, a
pious man, not over-stricken in years, conversing with a rosy young
widow, a vain and a fair creature, a bank of blossomed flowers beside
them, and the new risen moon scattering her slant and ineffectual
beams on the thick budded branches above them,—such is the
picture which tradition invariably draws, while imagination
endeavours to take up the tender thread of the story, and
imagination must have this licence still. Truth contents herself with
the summary of a few and unsatisfactory particulars. The dawn of
morning came, says Truth, and Ezra had not returned to his manse.
Something evil hath happened, said Imagination, scattering as she
spoke a thousand tales of a thousand hues, many of which still find
credence among the pious people of Galloway.
Josiah, the old and faithful servant of Ezra, arrived in search of his
master at the lonely burial-ground, about the dawn of the morning.
He had become alarmed at his long absence, and his alarm was not
abated by the unholy voices which at midnight sailed round the
manse and kirk, singing, as he imagined, a wild and infernal hymn of
joy and thanksgiving. He traced his steps down the footpath by the
rivulet side till he came to the little primrose bank, and found it
trodden upon and pressed as if two persons had been seated among
the flowers. Here all further traces ceased, and Josiah stood
pondering on the power of evil spirits, and the danger of holding
tryst with Beelzebub or any of the lesser spirits of darkness.
He was soon joined by an old shepherd, who told a tale which
pious men refuse to believe, though they always listen to it. The
bright moonlight had made him imagine it was morning, and he
arose and walked forth to look at his lambs on the distant hill—the
moon had been up for nearly an hour. His way lay near the little
lonely primrose bank, and as he walked along he heard the
whispering of tongues: he deemed it some idle piece of lovemaking,
and he approached to see who they might be. He saw what ought not
to be seen, even the reverend Ezra seated on the bank, and
conversing with a buxom young dame and a strange one. They were
talking wondrous kindly. He observed them for a little space; the
young dame was in widow’s weeds; the mariner’s widow wore the
only weeds, praise be blest, in the parish, but she was a raven to a
swan compared to the quean who conversed with the minister. She
was indeed passing fair, and the longer he looked on her she became
the lovelier—ower lovely for mere flesh and blood. His dog shrunk
back and whimpered, and an owl that chased a bird in the grove
uttered a scream of terror as it beheld her, and forsook its prey. At
length she turned the light of her eyes on himself; Will-o’-the-wisp
was but a proverb to them; they had a glance he should never get the
better of, and he hardly thought his legs carried him home, he flew
with such supernatural speed.
“But, indeed,” added the cautious peasant, “I have some doubts
that the whole was a fiction of the auld enemy, to make me think ill
of the douce man and the godly; and if he be spared to come home,
so I shall tell him. But if Ezra, pious man, is heard of nae mair, I shall
be free to believe that what I heard I heard, and what I saw I saw.
And Josiah, man, I may as weel give you the benefit of my own
opinion. I’ll amaist aver on my Bible, that the minister, a daring man
and a courageous,—ower courageous, I doubt,—has been dared out
to the lonely place by some he, or, maybe, she-fiend—the latter maist
likely; and there he has been overcome by might or temptation, and
now Satan may come atween the stilts of the gospel plough, for the
right hand of Ezra will hold it no longer; or I shouldna wonder,”
added the shepherd, “but that the old dour persecutor Bonshaw has
carried him away on his fiend-steed Geordie Johnstone; conscience!
nought mair likely; and I’ll warrant even now they are ducking him
in the dub of perdition, or picking his banes ahint the hallan o’ hell.”
The whole of this rustic prediction was not fulfilled. In a little deep
wild dell, at the distance of a gunshot, they found Ezra Peden lying
on the ground, uttering words which will be pardoned, since they
were the words of a delirious tongue. He was carried home amid the
sympathy and sorrow of his parishioners; he answered no question,
nor seemed to observe a single face, though the face of many a friend
stood round him. He only raved out words of tenderness and
affection, addressed to some imaginary person at his side; and
concluded by starting up, and raising such an outcry of horror and
amazement, as if the object of his regard had become a demon: seven
strong men could hardly hold him. He died on the third day, after
making a brief disclosure, which may be readily divined from this
hasty and imperfect narrative.
 YOUNG RONALD OF MORAR:
A TRADITIONARY TALE OF THE WESTERN
HIGHLANDS.

Angus Macdonald, a son of Clanranald, having quarrelled with his

neighbour and namesake, the Laird of Morar, he made an irruption
into that district, at the head of a select portion of his followers. One
of his men was celebrated for his dexterity as a marksman; and on
their march he gave a proof of this, by striking the head off the
canna, or moss cotton, with an arrow. This plant is common on
mossy ground in the Highlands; it is as white as the driven snow, and
not half the size of the lily.
Having got possession of the cattle, Angus was driving away the
spreith to his own country; but Dugald of Morar pursued him with a
few servants who happened to be at hand; and, being esteemed a
man of great bravery, Angus had no wish to encounter him. He
ordered the marksman to shoot him with an arrow; but the poor
fellow, being unwilling to injure Dugald, aimed high, and overshot
him. Angus observed this, and expressed his surprise that a man who
could hit the canna yesterday, could not hit Dugald’s broad forehead
that day; and drawing his sword, swore that he would cleave the
marksman’s head should he miss him again. John then reluctantly
drew his bow, and Dugald fell to rise no more.
Angus got into his hands the only son of the dreaded Morar, then
very young; and the treatment which the unfortunate boy received
was calculated to injure his health and shorten his life. A poor girl,
who attended the calves, had pity on him, and at last contrived to
carry him away, wrapped up in a large fleece of wool. Having escaped
from her pursuers, she made her way to the house of Cameron of
Lochiel. Here she and the boy were most hospitably received; and,
according to the custom of the country in those days, they passed a
year and a day without being asked any question. At the end of that
period, Lochiel made inquiry regarding the boy, and the girl candidly
told him her story. He thus discovered that the boy was the son of his
own wife’s sister; but he concealed the whole from his lady, of whose
secrecy he was not very confident. But he treated young Ronald with
great kindness. Lochiel had a son much of the same age; the two boys
frequently quarrelled, and the lady was angry to see her own son
worsted. She at last swore that “the girl and her vagabond must quit
the house next morning.” The generous Lochiel set out with the boy
to Inverness, where he boarded him under a false name, and placed
the woman in the service of a friend in the neighbourhood, that she
might have an eye to his condition.
Ronald received such education as befitted his birth; and when he
grew up to manhood, he paid a visit to Lochiel, his kind benefactor,
in Lochaber, who was so much satisfied with him, that he
determined on giving him his powerful assistance in recovering his
paternal estate, which was then in the possession of Angus.
Lochiel ordered a hundred men to attend himself and Ronald on
this occasion; and they arrived in Morar on a Sunday, when the
usurper and all his people were in church at mass. He congratulated
the young man on the opportunity he now had of avenging his
father’s blood, and destroying all his enemies at once, by burning
them in the church. Ronald humanely objected, that though many of
those persons then in the church were guilty of his father’s death, yet
there were others innocent of that crime; and he declared that if his
estate could not be recovered otherwise, he would rather want it, and
trust to Providence and his own valour. Lochiel did not at all relish
such sentiments, and left Ronald to his fate.
Ronald took refuge in a cavern, and the daughter of Angus, his
only child, frequently passed that way, in looking after her father’s
fold. He sometimes got into conversation with her; and, though but a
child, she became attached to him. He prevailed upon her to get his
shirts washed for him. Her father having accidentally discovered the
linen bleaching, observed the initial letters of Ronald’s name; and
making inquiry into the circumstances, soon suspected that he was at
hand. He attempted to persuade his daughter to decoy Ronald into
his power; but she told the young man all that her father proposed to
her; and he, finding that Angus was still thirsting for his blood,
immediately left the country, and took the girl along with him. With
much difficulty he conveyed her in safety to Inverness, from whence
he procured a passage to France, where he placed her in a convent.
He entered the French army, and was much distinguished for his
bravery; he was thus enabled to support himself, and to defray the
expense of her education. When the young woman was of age, they
were married, and returned to Scotland. Ronald having obtained
strong recommendations to the king, he found means of being
reconciled to Angus, who was then old, and had become very
penitent. He made great professions of friendship and attachment to
Ronald; but his daughter was always doubtful of his sincerity, and it
would appear that she had justly appreciated his disposition. One
night, Ronald having feigned intoxication and retired to rest, the old
barbarian calculated that he would sleep very soundly, and slunk into
his apartment, armed with a dirk, to stab his son-in-law; but the
young man watched the treacherous hypocrite, and put him to death.
Ronald obtained possession of his paternal estate, and, after a long
and prosperous life, became the founder of a very respectable family.
—Lit. Gazette.
 THE BROKEN RING.

By one of the Authors of the “Odd Volume.”

“Hout, lassie,” said the wily Dame Seton to her daughter, “dinna
blear your een wi’ greeting. What would honest Maister Binks say, if
he were to come in the now, and see you looking baith dull and dour?
Dight your een, my bairn, and snood back your hair—I’se warrant
you’ll mak a bonnier bride than ony o’ your sisters.”
“I carena whether I look bonny or no, since Willie winna see me,”
said Mary, while her eyes filled with tears. “Oh, mother, ye have been
ower hasty in this matter; I canna help thinking he will come hame
yet, and make me his wife. It’s borne in on my mind that Willie is no
dead.”
“Put awa such thoughts out o’ your head, lassie,” answered her
mother; “naebody doubts but yoursel that the ship that he sailed in
was whumelled ower in the saut sea—what gars you threep he’s
leeving that gate?”
“Ye ken, mother,” answered Mary, “that when Willie gaed awa on
that wearifu’ voyage, ‘to mak the crown a pound,’ as the auld sang
says, he left a kist o’ his best claes for me to tak care o’; for he said he
would keep a’ his braws for a day that’s no like to come, and that’s
our bridal. Now, ye ken it’s said, that as lang as the moths keep aff
folk’s claes, the owner o’ them is no dead,—so I e’en took a look o’ his
bit things the day, and there’s no a broken thread among them.”
“Ye had little to do to be howking among a dead man’s claes,” said
her mother; “it was a bonny like job for a bride.”
“But I’m no a bride,” answered Mary, sobbing. “How can ye hae
the heart to speak o’t, mother, and the year no out since I broke a
ring wi’ my ain Willie!—Weel hae I keepit my half o’t; and if Willie is
in this world, he’ll hae the other as surely.”
“I trust poor Willie is in a better place,” said the mother, trying to
sigh; “and since it has been ordered sae, ye maun just settle your
mind to take honest Maister Binks; he’s rich, Mary, my dear bairn,
and he’ll let ye want for naething.”
“Riches canna buy true love,” said Mary.
“But they can buy things that will last a hantle longer,” responded
the wily mother; “so, Mary, ye maun tak him, if you would hae me
die in peace. Ye ken I can leave ye but little. The house and bit garden
maun gang to your brother, and his wife will mak him keep a close
hand;—she’ll soon let you see the cauld shouther. Poor relations are
unco little thought o’; so, lassie, as ye would deserve my benison,
dinna keep simmering it and wintering it any longer, but take a gude
offer when it’s made ye.”
“I’ll no hae him till the year is out,” cried Mary. “Wha kens but the
ship may cast up yet?”
“I fancy we’ll hae to gie you your ain gate in this matter,” replied
the dame, “mair especially as it wants but three weeks to the year,
and we’ll need that to hae ye cried in the kirk, and to get a’ your
braws ready.”
“Oh, mother, mother, I wish ye would let me die!” was Mary’s
answer, as she flung herself down on her little bed.
Delighted at having extorted Mary’s consent to the marriage,
Dame Seton quickly conveyed the happy intelligence to her son-in-
law elect, a wealthy burgess of Dunbar; and having invited Annot
Cameron, Mary’s cousin, to visit them, and assist her in cheering the
sorrowful bride, the preparations for the marriage proceeded in due
form.
On the day before that appointed for the wedding, as the cousins
sat together, arranging the simple ornaments of the bridal dress,
poor Mary’s feelings could no longer be restrained, and her tears fell
fast.
“Dear sake, Mary, gie ower greeting,” said Annot; “the bonny white
satin ribbon is wringing wet.”
“Sing her a canty sang to keep up her heart,” said Dame Seton.
 “I canna bide a canty sang the day, for there’s ane rinnin’ in my
head that my poor Willie made ae night as we sat beneath the rowan-
tree outby there, and when we thought we were to gang hand in hand
through this wearifu’ world,” and Mary began to sing in a low voice.
At this moment the door of the dwelling opened, and a tall, dark-
complexioned woman entered, and saying, “My benison on a’ here,”
she seated herself close to the fire, and lighting her pipe, began to
smoke, to the great annoyance of Dame Seton.
“Gudewife,” said she gruffly, “ye’re spoiling the lassie’s gown, and
raising such a reek, so here’s an awmous to ye, and you’ll just gang
your ways, we’re unco thrang the day.”
“Nae doubt,” rejoined the spaewife, “a bridal time is a thrang time,
but it should be a heartsome ane too.”
“And hae ye the ill-manners to say it’s otherwise?” retorted Dame
Seton. “Gang awa wi’ ye, without anither bidding; ye’re making the
lassie’s braws as black as coom.”
“Will ye hae yer fortune spaed, my bonny May?” said the woman,
as she seized Mary’s hand.
“Na, na,” answered Mary, “I ken it but ower weel already.”
“You’ll be married soon, my bonny lassie,” said the sibyl.
“Hech, sirs, that’s piper’s news, I trow,” retorted the dame, with
great contempt; “can ye no tell us something better worth the
hearing?”
“Maybe I can,” answered the spaewife. “What would you think if I
were to tell you that your daughter keeps the half o’ the gold ring she
broke wi’ the winsome sailor lad near her heart by night and by day?”
“Get out o’ my house, ye tinkler!” cried Dame Seton, in wrath; “we
want to hear nae such clavers.”
“Ye wanted news,” retorted the fortune-teller; “and I trow I’ll gie ye
mair than you’ll like to hear. Hark ye, my bonnie lassie, ye’ll be
married soon, but no to Jamie Binks,—here’s an anchor in the palm
of your hand, as plain as a pikestaff.”
“Awa wi’ ye, ye leein’ Egyptian that ye are,” cried Dame Seton, “or
I’ll set the dog on you, and I’ll promise ye he’ll no leave ae dud on
your back to mend another.”
 “I wadna rede ye to middle wi’ me, Dame Seton,” said the fortune-
teller. “And now, having said my say, and wishing ye a blithe bridal,
I’ll just be stepping awa;” and ere another word was spoken, the
gipsy had crossed the threshold.
“I’ll no marry Jamie Binks,” cried Mary, wringing her hands; “send
to him, mother, and tell him sae.”
“The sorrow take the lassie,” said Dame Seton; “would you make
yoursel and your friends a warld wonder, and a’ for the clavers o’ a
leein’ Egyptian,—black be her fa’, that I should ban.”
“Oh, mother, mother!” cried Mary, “how can I gie ae man my
hand, when another has my heart?”
“Troth, lassie,” replied her mother, “a living joe is better than a
dead ane ony day. But whether Willie be dead or living, ye shall be
Jamie Binks’ wife the morn. Sae tak nae thought o’ that ill-deedy
body’s words, but gang ben the house and dry your een, and Annot
will put the last steek in your bonny white gown.”
With a heavy heart Mary saw the day arrive which was to seal her
fate; and while Dame Seton is bustling about, getting everything in
order for the ceremony, which was to be performed in the house, we
shall take the liberty of directing the attention of our readers to the
outside passengers of a stagecoach, advancing from the south, and
rapidly approaching Dunbar. Close behind the coachman was seated
a middle-aged, substantial-looking farmer, with a round, fat, good-
humoured face, and at his side was placed a handsome young sailor,
whose frank and jovial manner, and stirring tale of shipwreck and
captivity, had pleasantly beguiled the way.
“And what’s taking you to Dunbar the day, Mr Johnstone?” asked
the coachman.
“Just a wedding, John,” answered the farmer. “My cousin, Jamie
Binks, is to be married the night.”
“He has been a wee ower lang about it,” said the coachman.
“I’m thinking,” replied the farmer, “it’s no the puir lassie’s fault
that the wedding hasna been put off langer; they say that bonny
Mary has little gude will to her new joe.”
“What Mary is that you are speaking about?” asked the sailor.
 “Oh, just bonny Mary Seton that’s to be married the night,”
answered the farmer.
“Whew!” cried the sailor, giving a long whistle.
“I doubt,” said the farmer, “she’ll be but a waefu’ bride, for the
sough gangs that she hasna forgotten an auld joe; but ye see he was
away, and no likely to come back, and Jamie Binks is weel to pass in
the world, and the mother, they say, just made her life bitter till the
puir lassie was driven to say she would take him. It is no right in the
mother, but folks say she is a dour wife, and had aye an ee to the
siller.”
“Right!” exclaimed the young sailor, “she deserves the cat-o’-nine
tails!”
“Whisht, whisht, laddie,” said the farmer. “Preserve us! where is he
gaun?” he continued, as the youth sprung from the coach and struck
across the fields.
“He’ll be taking the short cut to the town,” answered the
coachman, giving his horses the whip.
The coach whirled rapidly on, and the farmer was soon set down at
Dame Seton’s dwelling, where the whole of the bridal party was
assembled, waiting the arrival of the minister.
“I wish the minister would come,” said Dame Seton.
“We must open the window,” answered Annot, “for Mary is like to
swarf awa.”
This was accordingly done, and as Mary sat close by the window,
and gasping for breath, an unseen hand threw a small package into
her lap.
“Dear sirs, Mary,” said Dame Seton, “open up the bit parcel, bairn;
it will be a present frae your Uncle Sandie; it’s a queer way o’ gieing
it, but he ne’er does things like ony ither body.” The bridal guests
gathered round Mary as she slowly undid fold after fold. “Hech!”
observed Dame Seton, “it maun be something very precious to be in
such sma’ bouk.” The words were scarcely uttered when the half of a
gold ring lay in Mary’s hand.
“Where has this come frae?” exclaimed Mary, wringing her hands.
“Has the dead risen to upbraid me?”
 “No, Mary, but the living has come to claim you,” cried the young
sailor, as he vaulted through the open window, and caught her in his
arms.
“Oh, Willie, Willie, where hae ye been a’ this weary time?”
exclaimed Mary, while the tears fell on her pale cheek.
“That’s a tale for another day,” answered the sailor; “I can think of
nothing but joy while I haud you to my breast, which you will never
leave mair.”
“There will be twa words to that bargain, my joe,” retorted Dame
Seton. “Let go my bairn, and gang awa wi’ ye; she’s trysted to be this
honest man’s wife, and his wife she shall be.”
“Na, na, mistress,” said the bridegroom, “I hae nae broo o’
wedding another man’s joe: since Willie Fleming has her heart, he
may e’en tak her hand for me.”
“Gude save us,” cried the farmer, shaking the young sailor by the
hand, “little did I ken wha I was speaking to on the top of the coach. I
say, guidwife,” he continued, “ye maun just let Willie tak her; nae
gude e’er yet come o’ crossing true love.”
“’Deed, that’s a truth,” was answered by several bonny
bridesmaids. Dame Seton, being deserted by her allies, and finding
the stream running so strongly against her, at length gave an
unwilling consent to the marriage of the lovers, which was celebrated
amidst general rejoicings; and at the request of his bride, Willie, on
his wedding-day, attired himself in the clothes which the moths had
so considerately spared for the happy occasion.
 A PASSAGE OF MY LIFE.

Maiden aunts are very tough. Their very infirmities seem to bring
about a new term of life. They are like old square towers—nobody
knows when they were built, and nobody knows when they will
tumble down. You may unroof them, unfloor them, knock in their
casements, and break down their doors, till the four old black walls
stand, and stand through storm and sunshine year after year, till the
eye, accustomed to contemplate the gradual decay of everything else,
sickens to look at this anomaly in nature. My aunt, dear good soul,
seemed resolved never to die,—at least to outlive her hopeful
nephew. I thought she was to prove as perdurable as a dried
mummy,—she was by this time equally yellow and exsiccated as any
of the daughters of Pharaoh.
I had run myself quite aground. But my extravagances, as well as
my distresses, I had the policy to conceal from my aged relative. She,
honest lady, occasionally had pressed me to accept of some slight
pittances of two or three £50’s at different times, which, after much
difficulty and entreaty, I made a merit of accepting, stoutly asserting
that I only received them to avoid hurting her feelings—that my own
income was amply sufficient for the limited wants of a scholar, or to
any one who could put in practice the rules of wholesome economy;
but this trifle certainly would enable me to purchase a few rather
expensive publications which I could not otherwise have hoped to do,
and which would prove of essential use in furthering the progress of
the two great works I had commenced while at college, and had been
busy with ever since, viz.: “A History of Antediluvian Literature, Arts,
and Sciences,” and, “A Dissertation on the Military Tactics of the
Assyrians,” which I intended should appear along with the last
volume of Valpy’s Greek Dictionary, or the first of Sir James
Mackintosh’s History of Great Britain.
 Fortune at last grew tired of persecuting me; she fairly turned her
wheel, and put me on the brightest spoke. My aunt’s factor called one
day, and let me know that he thought I should make my visits at
Broadcroft more frequent—take a little interest in looking over the
ditching and draining of the estate (short-sighted man, he little knew
how much I had ditched and drained it by anticipation!)—walk
through the woods and plantations, and bestow my opinion as to
thinning them (they were long ago, in my own mind, transferred to
the timber-yard)—apply myself a little to master the details of
business connected with agricultural affairs, such as markets, green
and white crops, manure, &c. &c.; and concluded by telling me that
his son was a remarkably clever lad, knew country matters
exceedingly well, and would be a most valuable acquisition as factor
or land grieve to any gentleman of extensive landed property. The
drift of this communication I perfectly understood. I listened with
the most profound attention, lamented my own ignorance of the
subjects wherein his clever son was so much at home, and wished
only that I had an estate, that I might entrust it to the care of so
intelligent a steward. After dispatching a bottle or two of claret, we
parted mutually pleased.
He had seen my aunt’s will, and, in the fulness of his heart, ran
over the legal jargon which constituted me the owner of Broadcroft,
Lilliesacre, Kittleford, Westerha’, Cozieholm, Harperston, and
Oxgang, with hale parts and pendicles, woods and fishings, mills and
mill-lands, muirs and mosses, rights of pasturage and commonty. I
never heard more delightful music all my days than the hour I spent
hearkening to this old rook cawing over the excellent lands that were
mine in prospective. My aunt’s letters, after this, I found assumed a
querulous tone, and became strongly impregnated with religious
commonplaces—a sure sign to me that she herself was now winding
up her earthly affairs—and generally concluded with some such
sentence as this: “I am in a comfortable frame of spirit, but my
fleshly tabernacle is sorely decayed—great need hath it of a sure prop
in the evening of its days.” These epistles I regularly answered,
seasoning them with scriptural texts as well as I could. Some, to be
sure, had no manner of connection or application whatsoever; but I
did not care for that if they were there. I stuck them thick and
threefold, for I knew my aunt was an indulgent critic, provided she
got plenty of matter. I took the precaution also of paying the postage,
for I learned, with something like satisfaction, that of late she had
become rather parsimonious in her habits. I also heard that she daily
took much comfort in the soul-searching and faith-fortifying
discourses of Mr Samuel Salmasius Sickerscreed, a migratory
preacher of some denomination or other, who had found it
convenient for some months to pitch his tent in the Broadcroft.
Several of my aunt’s letters told me, in no measured terms, her high
opinion of his edifying gifts. With these opinions, as a matter of
course, I warmly coincided. Sheet after sheet now poured in from
Broadcroft. I verily thought all the worthy divines, from the
Reformation downwards, had been put in requisition to batter me to
pieces with choice and ghostly counsel.
This infliction I bore up against with wonderful fortitude, and
repaid with my weightiest metal. To supply the extraordinary drafts
thus made on my stores of devout phraseology, I had to call in my
worthy friend Tom ——. He had been a regularly-bred theologian,
but finding the casque more fitting for his hot head than the
presbyter’s cowl, he now lived in elegant starvation as a dashing
cornet in the —— Dragoons, and a better fellow never breathed. His
assistance was of eminent service: when we exhausted our own
invention, we immediately transcribed the sermon of some forgotten
divine of last century, and sent it thundering off. These we
denominated shells. At this time Tom’s fortune and mine were
hanging on the same pin; we were both up to the chin in debt; we
had stretched our respective personal credits, as far as they would go,
for each other. We were involved in such a beautiful multitude and
labyrinth of mutual obligations, that we could neither count them
nor see our way out of them. In the holy siege of Broadcroft citadel
we therefore joined heart and hand.
In this manner things went on smoothly. My aunt was becoming
daily weaker, seldom left her own bedroom, and permitted no person
to see her save the Rev. S. S. Sickerscreed. Indeed, every letter I
received from my aunt intimated more plainly than its predecessor
that I might make up my mind for a great and sudden change, and
prepare myself for afflictions. As in duty bound, my answers
breathed of sorrow and resignation—lamented the mutability of this
world—its nothingness—the utter vanity of all earthly joys. I really
loved the good old lady; but I was hampered most villanously. I knew
not a spot where I could put the sole of my foot, without some legal
mine blowing me up a shivered rag into the azure firmament,—a fate
a thousand times more picturesque than pleasant. I may therefore be
excused for confessing that I looked upon my aunt’s release from this
world as the dawn of my own deliverance. Yet, even then, I felt
shame when I looked into the chambers of my heart, and found that
every feeling of grief I had there for my aunt’s illness was beautifully
edged with a gleam of satisfaction. The cypresses and yews, and
other mournful trees that threw their pensive shadows around me,
were positively resting above a burning volcano of joy. No; it was not
in human nature for a desperate man like me to exclude from his
contemplation the bills, bonds, moneys, and manors that had
accumulated for years under her thrifty and prudent management.
One morning, while musing in this indescribable state of feeling, a
little ragged boy, besmeared with dust and sweat, whom I recognised
as turnspit and running footman of the establishment at Broadcroft,
thrust a crumpled greasy-like billet in my hand.
“Come awa, laird, come awa, gin ye would like to see your auld
auntie afore she gangs aff a’thegither.”
I started up, threw down the “Sporting Magazine,” and
instinctively snatched up my hat.
“When did it happen, wee Jamie?”
“This morning, nae far’er gane—but come awa; everything’s gaun
tap-salteerie at Braidcraft—sae unexpected by us a’! Has your horse
been fed yet? Dinna put aff, but come awa. We’re a’ dementit ower
the way, and ye’re muckle wanted, and sair missed.”
With this wee Jamie darted away; I roared after him to obtain
further particulars, but wee Jamie shot off like an arrow, only
twisting his head over his shoulder, notwithstanding his trot, he
screamed—
“Gerss maunna grow under my heels, if I care for my lugs. But it’s
a’ by noo, and there’s nae gude in granin’.”
With which sapient remark the kitchen boy got out of hearing, and
soon out of sight.
I now hastily broke the black wax of the billet. The note was
subscribed by Mr S. S. Sickerscreed, and was written in his most
formal small-text hand. He had been a schoolmaster in his youth,
and could write legibly, which no gentleman who regards his caste
should do. The three big S S S were dearer to me than a collar of
knighthood. It required my immediate presence at Broadcroft to talk
over certain serious and impressive matters. So had Mr Samuel
Salmasius Sickerscreed penned his billet, and in the fulness of my
heart I gave the poor man credit for an excess of delicacy more than I
ever noticed had belonged to him before. Poor dear man, he, too, has
lost a valuable friend. Judging of the exquisiteness of my feelings by
the agony of his own, he has kindly delayed the fatal announcement
of my aunt’s demise, till my heart has been prepared to meet the
shock with becoming fortitude. How considerate—how very
compassionate he has been! Worthy man—would I could repay his
kindness with a benifice! Thus did I soliloquise over the dispatch
from Broadcroft; but notwithstanding the tumult which it and its
bearer raised in my bosom, I did not omit communicating to Tom the
unexpected change which a few hours had produced in our destinies,
and charging him at the same time to moderate his transports till I
returned with a confirmation of our hopes.
Then backing my stoutest hunter, and taking a crow’s flight across
the country, I spared not her heaving flanks, nor drew bridle, till I
reached the long, straight, dusky avenue that led to the tall, narrow
slip of a house yclept Broadcroft Place. Here I slackened my pace,
and left my wearied and panting brute to crawl as lazily as she liked
along the avenue. I, too, lengthened my visage to the requisite degree
necessary for the melancholy purpose on which I came. The very
trees had a lugubrious and sepulchral aspect. I took them in fancy to
be so many Sawlies waiting the time for heading the funeral
procession of my lamented aunt. They seemed to mourn for her in
sincere sorrow, and, in fact, walking under their shadows disposed
my mind very much to melancholy. Now a green leaf, now a withered
one, dropped on my beaver as I passed, and in the deep silence that
reigned around me, I could not, despite my constitutional
recklessness, be wholly insensible to the appeals these mute
emblems of man’s mortality made to reflection.
But a pleasanter train of feelings arose when I looked at the stately
trunks of the venerable oaks, their immense girth, and (with a glow
of patriotic virtue, quite common now-a-days) pictured forth to
myself how admirably they were suited to bear Britannia’s thunders
triumphantly across the wave. Yes, every tree of them shall be
devoted to the service of my country. Perish the narrow thought, that
for its own gratification would allow them to vegetate in unprofitable
uselessness, when they can be so beneficially employed for the state.
Every old, druidical-looking oak which my eye scanned was, of
course, devoted to the axe. I already saw the timber yards piled with
Broadcroft oak, and the distant sea my imagination soon whitened
with a fleet of noble barks wholly built of them. Thus did I speculate
till I reached the end of the avenue, where, to my surprise, I found a
travelling post-chaise and four drawn up before the door of the
mansion. This vehicle, an apparition of rare occurrence in so
secluded a part of the country, and at the residence of so retired a
lady as my departed aunt, was literally crushed with trunks, and
boxes, and bags, and packages of one kind or another, strapped
above, behind, and before it.
Being never unfertile in surmises, I immediately guessed that the
equipage I saw must, of necessity, belong to the clerk to the signet,
my aunt’s city lawyer, who had trundled himself into the country
with the whole muniments of my estate, for the mere purpose of
welcoming me, and regulating my deceased relative’s affairs. His
prompt appearance, I attributed, with my usual goodness of heart, to
the kindly foresight of Mr Samuel. I really did not know how I could
sufficiently recompense him for the warm, disinterested, and
valuable services he had rendered in this season of affliction. But my
aunt must have remembered him in her testament. She was ever
grateful. She cannot possibly have overlooked him. As the d—l would
have it, I then asked myself, now, if your aunt has forgotten Mr
Samuel Salmasius Sickerscreed altogether, how will you act? At first,
I said he must have £100 at least; then as I looked on my own
necessities, the uncertainty of rents, the exorbitance of taxes, this
sum speedily subsided into half the amount. And by the time I fairly
reached my aunt’s door, I found my mind reconciling itself to the
handsome duty of presenting Mr Sickerscreed with a snuff-box, value
£2, 10s., a mourning ring worth 30s., a new coat, and ten guineas; in
all, some twenty pieces of gold or thereby.
On alighting, I gave my horse to the servant to walk and cool. John
was old as his late mistress—a very good, foolish, gray-headed
domestic, marvellously fond of the family he served with, and
marvellously fond of conversation. He looked profoundly melancholy
when he took my reins.
“It’ll be a sair dispensation to you, Maister William,” quoth John,
“this morning’s news. Ye wud be wonderfully struck and put about
when ye heard it.”
“It is, indeed,” said I, throwing as much of mournfulness as
possible into the tones of my voice. “Heavy news indeed, and most
unexpected. Great cause have I to grieve. My poor dear aunt to be
thus lost to me for ever!”
“Nae doubt, nae doubt, Maister William, ye maun hae a heavy
heartfu’. We were a’ jalousing as muckle,—that’s me, Souple Rab, and
wee Jamie; however, it’ll no do to be coosten down a’thegither,—a
rainy night may bring a blithe morrow. Every thing is uncertain in
this world but death! But come on, Kate;” and John and my reeking
jade disappeared in the direction towards the stable; John, no doubt,
bursting with impatience till he could communicate to his select
cabinet, Souple Rab and wee Jamie, the awsome and doncie looks of
the young laird.
I was yet lingering on the threshold in a most comfortable frame of
mind, when the door was thrown open. Imagine my horror when the
first figure I saw was my aunt herself, not in the drapery of the grave,
but bedizzened with ribbons from head to heel, and leaning her
withered hand on the arm of the Reverend Mr Sickerscreed. I gasped
for breath—my tongue swelled and clung to the roof of my mouth—
my eyes literally started from their sockets as if they would leave
their bony casements altogether. Had I not caught hold of the porch,
down I should have dropped.
“Am I in my senses, aunt? Do I see you really alive? Is this no
unreal mockery—no cruel hallucination? Resolve me, for Heaven’s
sake, else I go mad.”
“Dear me, nephew,” said the old lady, “what agitates you so? I feel
so glad that you have paid me this visit ere I set off on my marriage
jaunt with the elect of my heart, your worthy connection, Mr
Sickerscreed.”
“Marriage!” thundered I, “marriage!—I came to mourn over your
bier, not to laugh at your bridal. O, the infernal cruelty, Mr What’s-