How to calculate Huber Estimator

#1
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
 

hlsmith

Not a robit
#2
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 \(|t| > k\).


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