Thomas Mahlmann wrote on 27 June 2002
> 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?
The MAD (meaning here median absolute deviation
from the median) is encoded as an -egen- function,
but I don't know of anything further in this line.
Nick
[email protected]
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