statsmodels.robust.norms.AndrewWave

class statsmodels.robust.norms.AndrewWave(a=1.339)[source]

Andrew’s wave for M estimation.

Parameters
afloat, optional

The tuning constant for Andrew’s Wave function. The default value is 1.339.

See also

statsmodels.robust.norms.RobustNorm

Methods

__call__(z)

Returns the value of estimator rho applied to an input

psi(z)

The psi function for Andrew’s wave

psi_deriv(z)

The derivative of Andrew’s wave psi function

rho(z)

The robust criterion function for Andrew’s wave.

weights(z)

Andrew’s wave weighting function for the IRLS algorithm