STAT444 Lecture Notes - Lecture 5: Mean Squared Error

• School: University of Waterloo
• Department: Statistics
• Course: STAT444
• Professor: Kun Liang

Document Summary

Solution : &= ( xtwxyxtwy where w= diag ( w. Huber ( 1964) proposed the following function p(r)= { It c ( 14 - ec ) if if. Ols for some positive constant c i par , y=r2 . in y i. 44 : sign ( r ) if if. Ci ) y is piecewise functionshould satisfy : st continuous c r c wlr. Ylryr is also continuous lii ) y is odd i. e. sit . wtr. 44kt w( r ) ( iii ) y ( r ) = 461=1 ( iv ) ( v ) st for r small. M x : ycx ) > 0 } than more weight smaller ( r ) Sometimes we prefer 4 function to redecent: e. ylr ) Irl is large . ( i ) hampel. 14 > c tipically used . (2) turkey "s bisquare weight ycr ) ={ where c=