statsmodels.robust.scale.hubers_scale¶
-
statsmodels.robust.scale.hubers_scale =
<statsmodels.robust.scale.HuberScale object>
¶ Huber’s scaling for fitting robust linear models.
Huber’s scale is intended to be used as the scale estimate in the IRLS algorithm and is slightly different than the Huber class.
- Parameters:¶
Methods
call
Return’s Huber’s scale computed as below
Notes
Huber’s scale is the iterative solution to
scale_(i+1)**2 = 1/(n*h)*sum(chi(r/sigma_i)*sigma_i**2
where the Huber function is
chi(x) = (x**2)/2 for |x| < d chi(x) = (d**2)/2 for |x| >= d
and the Huber constant h = (n-p)/n*(d**2 + (1-d**2)* scipy.stats.norm.cdf(d) - .5 - d*sqrt(2*pi)*exp(-0.5*d**2)
Last update:
Oct 12, 2024