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statsmodels.robust.norms.AndrewWave

class statsmodels.robust.norms.AndrewWave(a=1.339)[source]

Andrew’s wave for M estimation.

Parameters:

a : float, optional

The tuning constant for Andrew’s Wave function. The default value is 1.339.

Methods

psi(z) The psi function for Andrew’s wave
psi_deriv(z) The derivative of Andrew’s wave psi function
rho(z) The robust criterion function for Andrew’s wave.
weights(z) Andrew’s wave weighting function for the IRLS algorithm

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