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HUpsix

HUpsix computes psi function (derivative of rho function) times x for Huber

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Syntax

Description

example

psix =HUpsix(u, c) Plot of psi(x) function multiplied by x.

Examples

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  • Plot of psi(x) function multiplied by x.

    • % Plot of psi(x) function multiplied  by x.
    x=-6:0.01:6;
    psixHU=HUpsix(x,2);
    plot(x,psixHU)
    xlabel('x','Interpreter','Latex')
    ylabel('$\psi (x)$','Interpreter','Latex')

    Input Arguments

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    u — scaled residuals or Mahalanobis distances. Vector.

    n x 1 vector containing residuals or Mahalanobis distances for the n units of the sample

    Data Types: single| double

    c — tuning parameters. Scalar.

    Scalar greater than 0 which controls the robustness/efficiency of the estimator (beta in regression or mu in the location case ...)

    Data Types: single| double

    Output Arguments

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    psix —psi(u) function multiplied by u. Vector

    n-by-1 vector which contains the values of HU psi(u)*u function associated to the residuals or Mahalanobis distances for the n units of the sample.

    More About

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    Additional Details

    Function HUpsix transforms vector u as follows

    See equation (2.38) p. 29 of Maronna et al. (2006) Remark: Tukey's biweight psi-function is almost linear around u = 0 in accordance with Winsor's principle that all distributions are normal in the middle.

    This means that \psi (u)/u is approximately constant over the linear region of \psi, so the points in that region tend to get equal weight.

    References

    Maronna, R.A., Martin D. and Yohai V.J. (2006), "Robust Statistics, Theory and Methods", Wiley, New York.

    See Also

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