statsmodels.robust.norms.Hampel

class statsmodels.robust.norms.Hampel(a=2.0, b=4.0, c=8.0)[source]

Hampel function for M-estimation.

Parameters:
  • a (float, optional) –
  • b (float, optional) –
  • c (float, optional) – The tuning constants for Hampel’s function. The default values are a,b,c = 2, 4, 8.

See also

statsmodels.robust.norms.RobustNorm

Methods

psi(z) The psi function for Hampel’s estimator
psi_deriv(z) Deriative of psi.
rho(z) The robust criterion function for Hampel’s estimator
weights(z) Hampel weighting function for the IRLS algorithm