Robust estimation using the Huber function with a data-dependent tuning constant

Robust estimation often relies on a dispersion function that is more slowly varying at large values than the square function. However, the choice of tuning constant in dispersion functions may impact the estimation efficiency to a great extent. For a given family of dispersion functions such as the Huber family, we suggest obtaining the "best" tuning constant from the data so that the asymptotic efficiency is maximized. This data-driven approach can automatically adjust the value of the tuning constant to provide the necessary resistance against outliers. Simulation studies show that substantial efficiency can be gained by this data-dependent approach compared with the traditional approach in which the tuning constant is fixed. We briefly illustrate the proposed method using two datasets