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A reinvestigation of robust scale estimation in finite samples

  • Randal, John A.
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    This paper reworks and expands on the results of existing simulation studies, investigating the performance of various robust estimators of scale for Tukey's three corner distributions. We focus attention on the popular biweight A-estimator, but also propose a new estimator based on the Student's t-distribution, which attains an efficiency close to that of the A-estimator. We investigate the use of more efficient auxiliary location and scale estimators in two-pass estimators such as the A- and t-estimators, and find overall efficiency can be improved. Using much larger simulation sizes than previous studies, significant departures from existing efficiencies are obtained, and these lead to different recommendations for estimation.

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    File URL: http://www.sciencedirect.com/science/article/B6V8V-4SBSDD2-3/1/fc50372b8498d8906aa6468c1d76e39d
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    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 52 (2008)
    Issue (Month): 11 (July)
    Pages: 5014-5021

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    Handle: RePEc:eee:csdana:v:52:y:2008:i:11:p:5014-5021
    Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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    1. Tobias Rydén & Timo Teräsvirta & Stefan Åsbrink, 1998. "Stylized facts of daily return series and the hidden Markov model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 217-244.
    2. Randal, John A. & Thomson, P.J.Peter J., 2004. "Maximum likelihood estimation for Tukey's three corners," Computational Statistics & Data Analysis, Elsevier, vol. 46(4), pages 677-687, July.
    3. R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
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