Description Usage Arguments Value References See Also Examples
The function conducts Huber regression from a data sample, with robustification parameter τ determined by a tuning-free principle.
1 |
X |
An n by p design matrix, where p < n. |
Y |
A continuous response with length n. |
method |
An optional character string specifying the method to calibrate the robustification parameter τ. Two choices are "standard"(default) and "adaptive". See Wang et al.(2020) for details. |
A coefficients estimator with length p + 1 will be returned.
Huber, P. J. (1964). Robust estimation of a location parameter. Ann. Math. Statist., 35, 73–101.
Sun, Q., Zhou, W.-X. and Fan, J. (2020). Adaptive Huber regression. J. Amer. Statist. Assoc., 115, 254-265.
Wang, L., Zheng, C., Zhou, W. and Zhou, W.-X. (2020). A new principle for tuning-free Huber regression. Stat. Sin., to appear.
huber.mean
for tuning-free Huber mean estimation and huber.cov
for tuning-free Huber-type covariance estimation.
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