sfsmisc (version 0.9-4)

huberM: Safe (generalized) Huber M-Estimator of Location

Description

(Generalized) Huber M-estimator of location with MAD scale, being sensible also when the scale is zero where huber() returns an error.

Usage

huberM(x, k = 1.5, tol = 1e-06, mu = median(x), s = mad(x, center=mu),
       warn0scale = getOption("verbose"))

Arguments

x

numeric vector.

k

positive factor; the algorithm winsorizes at k standard deviations.

tol

convergence tolerance.

mu

initial location estimator.

s

scale estimator held constant through the iterations.

warn0scale

logical; if true, and s is 0 and length(x) > 1, this will be warned about.

Value

• list of location and scale parameters, and number of iterations used.
• mu
  location estimate
• s
  the s argument,MAD scale estimate -- unless s is
• it
  the number of Huber iterations used.

References

Huber, P. J. (1981) Robust Statistics. Wiley.

See Also

hubers (and huber) in package MASS; mad.

Examples

huberM(c(1:9, 1000))
mad  (c(1:9, 1000))
mad  (rep(9, 100))
huberM(rep(9, 100))