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statsmodels.robust.norms.HuberT

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

Huber’s T for M estimation.

Parameters:

t : float, optional

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

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

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