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

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  • Smirnov, Pavel O.
  • Shevlyakov, Georgy L.

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.

Suggested Citation

  • Smirnov, Pavel O. & Shevlyakov, Georgy L., 2014. "Fast highly efficient and robust one-step M-estimators of scale based on Qn," Computational Statistics & Data Analysis, Elsevier, vol. 78(C), pages 153-158.
    • Handle: RePEc:eee:csdana:v:78:y:2014:i:c:p:153-158
    DOI: 10.1016/j.csda.2014.04.013
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    References listed on IDEAS

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    1. Rousseeuw, Peter J. & Croux, Christophe, 1994. "The bias of k-step M-estimators," Statistics & Probability Letters, Elsevier, vol. 20(5), pages 411-420, August.
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