Score Function of the Mallows M-Estimator

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Description

Score function of the Mallows-type M-estimator.

Usage

1
PsiMest(x, y, beta, sigma, t.c, weight)

Arguments

x

vector of exogenous variables

y

endogenous variable

beta

parameter vector

sigma

std.error

t.c

tuning constant of Huber psi function

weight

vector of weights on the exogenous variables

Details

Can be used to compute the influence function of the estimator. Also can be used to approximate the bias of the estimator.

Value

returns the vector of scores

Author(s)

Mikhail Zhelonkin, Marc G. Genton, Elvezio Ronchetti

References

Hampel, Ronchetti, Rousseeuw, Stahel (1986)

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