A More General Robust Loss Function

01/11/2017

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by   Jonathan T. Barron, et al.

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We present a two-parameter loss function which can be viewed as a generalization of many popular loss functions used in robust statistics: the Cauchy/Lorentzian, Geman-McClure, Welsch, and generalized Charbonnier loss functions (and by transitivity the L2, L1, L1-L2, and pseudo-Huber/Charbonnier loss functions). We describe and visualize this loss, and document several of its useful properties.