Fast highly efficient and robust one-step M-estimators of scale based on Qn

Pavel O. Smirnov and Georgy L. Shevlyakov

Computational Statistics & Data Analysis, 2014, vol. 78, issue C, 153-158

Abstract: A parametric family of M-estimators of scale based on the Rousseeuw–Croux Qn-estimator is proposed; estimator’s bias and efficiency are studied. A low-complexity one-step M-estimator is obtained allowing a considerably faster computation with greater than 80% efficiency and the highest possible 50% breakdown point. Analytical and Monte Carlo modeling results confirm the effectiveness of the proposed approach.

Keywords: Robustness; M-estimator; Scale estimation; Influence function (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:78:y:2014:i:c:p:153-158

DOI: 10.1016/j.csda.2014.04.013

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