The function calculates adaptive Huber mean estimator from a data sample, with robustification parameter \(\tau\) determined by a tuning-free principle.
Usage
huber.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. (2020). A New Principle for Tuning-Free Huber Regression. Stat. Sin., to appear.
See Also
huber.cov for tuning-free Huber-type covariance estimation and huber.reg for tuning-free Huber regression.