statsmodels.robust.norms.TrimmedMean

class statsmodels.robust.norms.TrimmedMean(c=2.0)[source]

Trimmed mean function for M-estimation.

Parameters
cfloat, optional

The tuning constant for Ramsay’s Ea function. The default value is 2.0.

Methods

__call__(z)

Returns the value of estimator rho applied to an input

Methods

psi(z)

The psi function for least trimmed mean

psi_deriv(z)

The derivative of least trimmed mean psi function

rho(z)

The robust criterion function for least trimmed mean.

weights(z)

Least trimmed mean weighting function for the IRLS algorithm