Dear Statalist readers,
does anyone know of an implementation of Huber's robust A-estimator
(described by Hampel/Ronchetti/Rousseeuw/Stahel (1986): Robust
Statistics, The approach based on influence functions, p. 113). I am
trying to do some robust standardization for non gaussian variables and
use Huber's 1-step estimator for the mean, but I need a robust estimate
for the variance. Does anyone has an idea?
Thanks,
Thomas
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