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

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.

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Year of publication:	2014
Authors:	Smirnov, Pavel O. ; Shevlyakov, Georgy L.
Published in:	Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 78.2014, C, p. 153-158
Publisher:	Elsevier
Subject:	Robustness \| M-estimator \| Scale estimation \| Influence function

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010871310