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Robust scale estimation based on the the empirical characteristic function

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.
Year of publication:
1995
Authors: Markatou, Marianthi ; Horowitz, Joel L. ; Lenth, Russell V.
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 25.1995, 2, p. 185-192
Publisher: Elsevier
Keywords: Breakdown point Characteristic function Influence function Scale parameter
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005259280
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