PsiMest {ssmrob} | R Documentation |
Score function of the Mallows-type M-estimator.
PsiMest(x, y, beta, sigma, t.c, weight)
x |
vector of exogenous variables |
y |
scalar endogenous variable |
beta |
parameter vector |
sigma |
std.error |
t.c |
tuning constant of Huber Psi-function |
weight |
scalar weight on the exogenous variables |
Can be used to compute the influence function of the estimator. Also can be used to approximate the bias of the estimator.
score of the Psi-function
Mikhail Zhelonkin, Marc G. Genton, Elvezio Ronchetti
Hampel, Ronchetti, Rousseeuw, Stahel (1986). Robust Statistics: The Approach Based on Influence Functions. New York: Wiley.