ssmrob (version 1.0)

PsiMest: Score Function of the Mallows M-Estimator

Description

Score function of the Mallows-type M-estimator.

Usage

PsiMest(x, y, beta, sigma, t.c, weight)

Arguments

x

vector of exogenous variables

y

scalar endogenous variable

beta

parameter vector

sigma

std.error

t.c

tuning constant of Huber Psi-function

weight

scalar weight on the exogenous variables

Value

score of the Psi-function

Details

Can be used to compute the influence function of the estimator. Also can be used to approximate the bias of the estimator.

References

Hampel, Ronchetti, Rousseeuw, Stahel (1986). Robust Statistics: The Approach Based on Influence Functions. New York: Wiley.