Types of M-estimators
M-estimators are solutions, θ, which minimize
This minimization can always be done directly. Often it is simpler to differentiate with respect to θ and solve for the root of the derivative. When this differentiation is possible, the M-estimator is said to be of ψ-type. Otherwise, the M-estimator is said to be of ρ-type.
In most practical cases, the M-estimators are of ψ-type.
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