statsmodels.robust.norms.RobustNorm#
- class statsmodels.robust.norms.RobustNorm[source]#
The parent class for the norms used for robust regression
Lays out the methods expected of the robust norms to be used by statsmodels.RLM.
Methods
__call__(z)Return the value of estimator rho applied to an input
psi(z)Derivative of rho.
psi_deriv(z)Derivative of psi.
rho(z)The robust criterion estimator function
weights(z)Return the value of psi(z) / z
Notes
Currently only M-estimators are available.
References
PJ Huber. ‘Robust Statistics’ John Wiley and Sons, Inc., New York, 1981.
- DC Montgomery, EA Peck. ‘Introduction to Linear Regression Analysis’,
John Wiley and Sons, Inc., New York, 2001.
- R Venables, B Ripley. ‘Modern Applied Statistics in S’
Springer, New York, 2002.
Methods
psi(z)Derivative of rho.
psi_deriv(z)Derivative of psi.
rho(z)The robust criterion estimator function
weights(z)Return the value of psi(z) / z
Properties