Huber k estimator
The Huber k estimator is a special estimator for M-estimators ( robust estimation methods ). It is used to estimate the location parameter of a normally distributed population.
The idea behind this is that large values that are viewed as outliers should no longer have a quadratic influence above a certain size .
is a so-called tuning constant. The most common value is what the 0.9 quantile of the standardized normal distribution corresponds to.
literature
- Joachim Hartung, Bärbel Elpelt, Karl-Heinz Klösener: Statistics: Teaching and manual of applied statistics . Oldenbourg Verlag, Munich / Vienna 2002, pp. 869–872