rho.Hampel: Hampel's Rho Function

In abnormally-distributed/cvreg: Cross Validation and Robust Estimation Utilities

Description

the anti-derivative of Hampel's psi function.

Usage

rho.Hampel(u, k = 0.901608)

Arguments

u	vector of centered and scaled residuals
k	a tuning constant. the default is 0.901608, which yields an asymptotic relative efficiency under normality of 95 percent. Note that in this package the three parameters a,b,and c commonly utilized are hard coded to give the psi function a slope of -1/3 at the origin. k is multiplied by a,b,c to yield a simpler and more consistent means of tuning the function.

Value

a numeric vector

References

Hampel, Ronchetti, Rousseeuw and Stahel (1986). Robust Statistics, Wiley, pp. 150.

abnormally-distributed/cvreg documentation built on May 3, 2020, 3:45 p.m.