statsmodels.robust.norms.HuberT

class statsmodels.robust.norms.HuberT(t=1.345)[source]

Huber’s T for M estimation.

Parameters:
tfloat, optional

The tuning constant for Huber’s t function. The default value is 1.345.

See also

statsmodels.robust.norms.RobustNorm

Methods

__call__(z)

Returns the value of estimator rho applied to an input

Methods

psi(z)

The psi function for Huber's t estimator

psi_deriv(z)

The derivative of Huber's t psi function

rho(z)

The robust criterion function for Huber's t.

weights(z)

Huber's t weighting function for the IRLS algorithm