statsmodels.robust.scale.Huber.__call__

method

Huber.__call__(a, mu=None, initscale=None, axis=0)[source]

Compute Huber’s proposal 2 estimate of scale, using an optional initial value of scale and an optional estimate of mu. If mu is supplied, it is not reestimated.

Parameters:

a : array

1d array

mu : float or None, optional

If the location mu is supplied then it is not reestimated. Default is None, which means that it is estimated.

initscale : float or None, optional

A first guess on scale. If initscale is None then the standardized median absolute deviation of a is used.

Notes

Huber minimizes the function

sum(psi((a[i]-mu)/scale)**2)

as a function of (mu, scale), where

psi(x) = np.clip(x, -self.c, self.c)