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statsmodels.robust.norms.RamsayE

class statsmodels.robust.norms.RamsayE(a=0.3)[source]

Ramsay’s Ea for M estimation.

Parameters:

a : float, optional

The tuning constant for Ramsay’s Ea function. The default value is 0.3.

Methods

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

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