[R] Huber location estimate

[Murray Jorgensen]

We have a choice when calculating the Huber location estimate:
 > set.seed(221205)
 > y <- 7 + 3*rt(30,1)
 > library(MASS)
 > huber(y)$mu
[1] 5.9117
 > coefficients(rlm(y~1))
(Intercept)
      5.9204

I was surprised to get two different results. The function huber() works 
  directly with the definition whereas rlm() uses iteratively reweighted 
least squares.

My surprise is because I vaguely remember

@ARTICLE{hw77,
   author  = {Holland, P. W. and Welsch, R. E.},
   title   = {Robust Regression using Iteratively Reweighted Least-Squares},
   journal = {Communications in Statistics: Theory and Methods},
   volume  = {A6(9)},
   number  = {},
   pages   = {813-827},
   year    = {1977}
}
as saying that the two methods were equivalent. Obviously they aren't 
quite. Comments welcome.

Murray Jorgensen
-- 
Dr Murray Jorgensen      http://www.stats.waikato.ac.nz/Staff/maj.html
Department of Statistics, University of Waikato, Hamilton, New Zealand
Email: maj at waikato.ac.nz                                Fax 7 838 4155
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