Robust M-Estimator Comparison
Hello, I'm learning about robust M-estimators right now and had settled on the "Huber Proposal 2" as implemented in MASS, but further reading made clear, that at least 2 further weighting functions (Hampel, Tukey bisquare) exist. In a post from B.D. Ripley going back to 1999 I found the following quote:
2) Would huber() give me results that are similar (i.e., close enough)?
Not if you have lots of extreme outliers on just one side.
Since this message seems to imply that the nature of the data described (and not just personal preference) should influence the choice among above M-estimators, I've been scouting around for a direct comparison among them - to no avail. Can anybody here point me to such a comparison (novice-suitability would be more than welcome ;0)? Thanks for any hint, Joh
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