The Huber psi function psi(x) is the derivative
of the Huber rho function, with a tuning constant cc that
controls the trade-off between robustness toward outliers,
and normal distribution estimator efficiency.
Usage
psiHuber(x, cc = 2)
Value
Numeric value of psi(x)
Arguments
x
Numeric argument of psi function
cc
numeric robustness tuning constant
Details
The choice cc = 1.345 results in a 95
distribution efficiency for the Huber location M-estimator.
The default value cc = 2.0 is better for EWMA robust filters.