Robust scale estimation based on the the empirical characteristic function

Marianthi Markatou, Joel L. Horowitz and Russell V. Lenth

Statistics & Probability Letters, 1995, vol. 25, issue 2, 185-192

Abstract: A new estimator of the scale parameter [sigma] of an absolutely continuous distribution F[(x - [mu])/[sigma]] in a location-scale family is described. The estimator is based on the empirical characteristic function of the data. It is affine equivariant, strongly consistent, asymptotically normal and has desirable robustness properties.

Keywords: Breakdown; point; Characteristic; function; Influence; function; Scale; parameter (search for similar items in EconPapers)
Date: 1995
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