huber.mean: Tuning-free Huber mean estimation

In FarmTest: Factor-Adjusted Robust Multiple Testing

Description

The function calculates adaptive Huber mean estimator from a data sample, with robustification parameter τ determined by a tuning-free principle.

Usage

huber.mean(X)

Arguments

X	An n-dimensional data vector.

Value

A Huber mean estimator will be returned.

References

Huber, P. J. (1964). Robust estimation of a location parameter. Ann. Math. Statist., 35, 73–101.

Wang, L., Zheng, C., Zhou, W. and Zhou, W.-X. (2020). A New Principle for Tuning-Free Huber Regression. Stat. Sin., to appear.

See Also

huber.cov for tuning-free Huber-type covariance estimation and huber.reg for tuning-free Huber regression.

Examples

n = 10000
X = rt(n, 2) + 2
mu = huber.mean(X)

FarmTest documentation built on Sept. 7, 2020, 9:07 a.m.