mestim.c File Reference

Calculating Hubers M-estimator for single data. More...

#include "libtpcmodel.h"

Go to the source code of this file.

Functions
double	mEstim (double *data, int nr, int iterNr, double cutoff)
double	huber (double x, double b)

Detailed Description

Calculating Hubers M-estimator for single data.

Author

Kaisa Sederholm, Vesa Oikonen

Definition in file mestim.c.

Function Documentation

huber()

double huber	(	double	x,
		double	b )

Hubers function.

Returns

Returns x if |x|<b, and b otherwise.

Parameters

x	parameter x
b	cutoff point

Definition at line 53 of file mestim.c.

  {
  double help;
 
  if(x<-b) help=-b; else help=x;
  if(help<b) {return help;} else {return b;}
}

Referenced by mEstim().

mEstim()

double mEstim	(	double *	data,
		int	nr,
		int	iterNr,
		double	cutoff )

Fit a constant (horizontal straight line) to the data with M-estimator.

The algorithm was described in the lecture notes of Nonlinear signal processing course of Tampere university of technology www.cs.tut.fi/~eeroh/nonlin.html

Returns

Returns Hubers M-estimator for single dataset.

Parameters

data	Data array
nr	Number of data values
iterNr	Number of iterations
cutoff	cutoff point

Definition at line 18 of file mestim.c.

  {
  double theta, sum1, sum2, help;
 
  theta=dmedian(data, nr);
  for(int ii=0; ii<iterNr; ii++){
    sum1=sum2=0;
    for(int in=0; in<nr; in++){
      if(data[in]<0.9999*theta || data[in]>1.0001*theta){
        help=huber(data[in]-theta, cutoff);
        sum1=sum1+data[in]*help/(data[in]-theta);
        sum2=sum2+help/(data[in]-theta);
      } else {
        sum1=sum1+cutoff*data[in];
        sum2=sum2+cutoff; 
      }
    }
    theta=sum1/sum2;
  }
  return theta;
}