M-estimator

An M-estimator minimizes an empirical objective

\sum_{i} ρ (x_{i}, θ)

or, when differentiable, solves an estimating equation

\sum_{i} ψ (x_{i}, θ) = 0

.

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- Scale M-estimator M-estimator

Scale M-estimator

A scale M-estimator solves an equation of the form

\sum_{i = 1}^{n} ψ (x_{i} / t) = 0

for a positive scale

t

.

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