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ROBSCALE: RATS module to compute robust alternative to standard deviation

Author

Listed:
  • Eric Blankmeyer

    (Texas State University)

Programming Language

RATS

Abstract

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

Suggested Citation

  • Eric Blankmeyer, 1999. "ROBSCALE: RATS module to compute robust alternative to standard deviation," Statistical Software Components R932501, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:r932501
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    File URL: http://fmwww.bc.edu/repec/bocode/r/robscale.src
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    More about this item

    Keywords

    robust estimation; RATS;

    Statistics

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