FarmTest (version 2.0.1)

farm.mean: Tuning-free Huber mean estimation

Description

The function calculates adaptive Huber mean estimator from a data sample, with robustification parameter \(\tau\) determined by a tuning-free principle.

Usage

farm.mean(X)

Arguments

X

An \(n\)-dimensional data vector.

Value

A Huber mean estimator will be returned.

References

Huber, P. J. (1964). Robust estimation of a location parameter. Ann. Math. Statist., 35, 73<U+2013>101.

Wang, L., Zheng, C., Zhou, W. and Zhou, W.-X. (2018). A New Principle for Tuning-Free Huber Regression. Preprint.

See Also

farm.cov for tuning-free Huber-type covariance estimation.

Examples

# NOT RUN {
set.seed(2019)
n = 1000
X = rlnorm(n, 0, 1.5) - exp(1.5^2 / 2)
mu = farm.mean(X)
# }