robscale.src computes a robust alternative to the standard deviation as a measure of scale (dispersion). The standard deviation is easily distorted by outliers and may therefore be quite misleading. robscale.src computes the Qn statistic of Rousseeuuw and Croux, which is very robust and also has good efficiency (relative to the standard deviation) when the data are in fact uncontaminated Gaussian random variables. (P. J. Rousseeuw and C. Croux, "Alternatives to the median absolute deviation," Journal of the American Statistical Association, Dec 1993, vol. 88, no. 424, pp. 1273-1283). Specifically, if the series x contains n observations, then there are n(n-1)/2 differences of the form abs( x(i)-x(j) ), i < j. when these differences are ranked, Qn is approximately the 25th percentile. the cost of computing Qn grows rapidly as n increases, but the Rousseeuw-Croux algorithm is very fast and needs relatively little computer memory and disk space. myseries is the univariate data from which Qn is to be computed. the first observation is nbeg and the last observation is nend.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number
R932501.
Size: Programming language: RATS Requires: Date of creation: 25 Mar 1999 Date of revision: Handle: RePEc:boc:bocode:r932501
Contact details of provider: Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA Phone: 617-552-3670 Fax: +1-617-552-2308 Email: Web page: http://fmwww.bc.edu/EC/ More information through EDIRC