psicprime: Second derivative of the quasi-optimal rho function

In meszre/tauPFC: Computes Robust Estimators for the PFC Model

Description

psicprime computes the second derivative of the ρ quasi-optimal function defined in the references

Usage

psicprime(x, c)

Arguments

x	value where the second derivative function is evaluated
c	tuning parameter, it defines where the ρ quasi-optimal function starts to be constant

References

Muler, N. and Yohai, V. J. (2002). Robust estimates for arch processes. Journal of Time Series Analysis, 23(3):341-375.

Salibian-Barrera, M., Van Aelst, S. and Yohai, V. J. (2016). Robust tests for linear regression models based on τ-estimates. Computational Statistics & Data Analysis 93:436-455.

Examples

plot(seq(0,1.3,.01),psicprime(seq(0,1.3,.01),1),type='l',ylab="",xlab="")

meszre/tauPFC documentation built on Feb. 28, 2020, 8:21 a.m.