 Solution

At the standard normal distribution, symmetry and the odd Huber score give population root zero. For $0<b<\infty$, the derivative of the clipped score is $1_{\{|x|<b\}}$ except at its two corners, which have zero normal probability. Put $m_b=2\Phi (b)-1>0$ and write $\varphi$ for the standard normal density. The sandwich variance of an M-estimator has numeratorUsing ${\varphi }^{\prime }(z)=-z\varphi (z)$ and integration by parts,ThereforeAs checks, it tends to $1$ as $b\to \infty$, the sample mean limit, and to $\pi /2$ as $b\downarrow 0$, the sample median limiting variance. The estimator variance for a sample of size $n$ is approximately this quantity divided by $n$.