statsmodels.robust.norms.Hampel

class statsmodels.robust.norms.Hampel(a=2.0, b=4.0, c=8.0)[source]

Hampel function for M-estimation.

Parameters
afloat, optional
bfloat, optional
cfloat, optional

The tuning constants for Hampel’s function. The default values are a,b,c = 2, 4, 8.

Methods

__call__(z)

Returns the value of estimator rho applied to an input

Methods

psi(z)

The psi function for Hampel's estimator

psi_deriv(z)

Derivative of psi.

rho(z)

The robust criterion function for Hampel's estimator

weights(z)

Hampel weighting function for the IRLS algorithm