How to calculate Huber Estimator

jyanto

New Member
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

Less is more. Stay pure. Stay poor.
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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