Huber M-estimator of Location with MAD Scale
DESCRIPTION:
Finds the Huber M-estimator of location with MAD scale.
USAGE:
huber(y, k = 1.5, tol = 1e-06)
REQUIRED ARGUMENTS:
- y
-
vector of data values
OPTIONAL ARGUMENTS:
- k
-
Winsorizes at
k
standard deviations
- tol
-
convergence tolerance
VALUE:
list of location and scale parameters
- mu
-
location estimate
- s
-
MAD scale estimate
REFERENCE:
Huber, P. J. (1981)
Robust Statistics.
Wiley.
SEE ALSO:
,
EXAMPLES:
huber(chem)