Description Usage Arguments Details Value Author(s) References Examples
This function provides the usual Huber's weight function in Robust estimation context. See Huber (1981) for details. Let ρ(x) be the usual Huber's function, this function is ρ'(x)/x, where ρ'(x) is the derivative of ρ(x).
1 | huberWeightLS(data, k)
|
data |
The input vector or matrix |
k |
The parameter to control robustness, the default value is 1.345, as suggested in many Robust Statistics textbooks |
See details of the huber weights in iterative least squares in the references
the weight vector or matrix for Huber-type robust regression
Lingsong Zhang (lingsong@purdue.edu) and Chao Pan (panc@purdue.edu)
Huber, P. J. (1981). Robust statistics. Wiley series in probability and mathematical statistics.
1 2 3 4 5 | #generate a t distrbution matrix
x<-matrix(rt(100, 1), nrow=10)
#generate the huber weight matrix with k=1.345
y=huberWeightLS(x, k=1.345)
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