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Thread: How to calculate Huber Estimator

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    How to calculate Huber Estimator




    Hi,

    I would like to understand how to compute the Huber estimator.
    As I read, the objective function of Huber estimator is minimizing $\rho (x_i - \theta)$, where the $\rho (t) = 1/2 t^2$ when $|t| < k$ and $\rho (t) = k|t| - 1/2 k^2$ when $|t| > k$.
    Anyone know how to compute this estimator? Or any easy reference to follow?
    Thanks

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    Re: How to calculate Huber Estimator


    Is this what you were trying to post?


    rho (x_i - \theta), where the rho (t) = 1/2 t^2 when |t| < k and rho (t) = k|t| - 1/2 k^2 when |t| > k.


    You can use [M@TH] and [/M@TH] tags to format (just switch "@" with "a" in these statements).
    Stop cowardice, ban guns!

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