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

Omega Contributor
#2
Is this what you were trying to post?


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


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