Returns the first Raphson-Newton iteration of the function Huber.NR.
Usage
huber.one.step(x, c = 1.28)
Value
Returns the Huber one step estimator.
Arguments
x
Vector of quantitative data
c
Bend criterion. The value c = 1.28 gives 95% efficiency of the mean given normality.
Author
Ken Aho
Details
The Huber M-estimator function usually converges fairly quickly, hence the justification of the Huber one step estimator. The function uses the Median Absolute Deviation function, mad. If MAD = 0, then NA is returned.
References
Huber, P. J. (2004) Robust Statistics. Wiley.
Wilcox, R. R. (2005) Introduction to Robust Estimation and Hypothesis Testing, Second
Edition. Elsevier, Burlington, MA.