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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:

a : float, optional

b : float, optional

c : float, optional

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

Methods

psi(z) The psi function for Hampel’s estimator
psi_deriv(z)
rho(z) The robust criterion function for Hampel’s estimator
weights(z) Hampel weighting function for the IRLS algorithm

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