huber.mean {FarmTest} | R Documentation |
Tuning-free Huber mean estimation
Description
The function calculates adaptive Huber mean estimator from a data sample, with robustification parameter \tau
determined by a tuning-free principle.
Usage
huber.mean(X)
Arguments
X |
An |
Value
A Huber mean estimator will be returned.
References
Huber, P. J. (1964). Robust estimation of a location parameter. Ann. Math. Statist., 35, 73–101.
Wang, L., Zheng, C., Zhou, W. and Zhou, W.-X. (2020). A New Principle for Tuning-Free Huber Regression. Stat. Sin., to appear.
See Also
huber.cov
for tuning-free Huber-type covariance estimation and huber.reg
for tuning-free Huber regression.
Examples
n = 10000
X = rt(n, 2) + 2
mu = huber.mean(X)
[Package FarmTest version 2.2.0 Index]