IDEAS home Printed from https://ideas.repec.org/a/eee/csdana/v78y2014icp153-158.html
   My bibliography  Save this article

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

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167947314001200
    Download Restriction: Full text for ScienceDirect subscribers only.
    File URL: https://libkey.io/10.1016/j.csda.2014.04.013?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    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.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. C. Croux & C. Dehon & A. Yadine, 2010. "The k-step spatial sign covariance matrix," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 4(2), pages 137-150, September.
    2. Schlittgen, Rainer & Schwabe, Rainer, 2001. "An alternative definition of the influence function," Statistics & Probability Letters, Elsevier, vol. 51(2), pages 143-153, January.
    3. Berrendero, José R. & Zamar, Ruben H., 1999. "Global robustness of location and dispersion estimates," Statistics & Probability Letters, Elsevier, vol. 44(1), pages 63-72, August.
    4. Croux, Christophe & Haesbroeck, Gentiane, 1999. "Influence Function and Efficiency of the Minimum Covariance Determinant Scatter Matrix Estimator," Journal of Multivariate Analysis, Elsevier, vol. 71(2), pages 161-190, November.
    5. Cem Haydaroğlu & Bilal Gümüş, 2022. "Fault Detection in Distribution Network with the Cauchy-M Estimate—RVFLN Method," Energies, MDPI, vol. 16(1), pages 1-18, December.
    6. Gather, Ursula & Davies, P. Laurie, 2004. "Robust Statistics," Papers 2004,20, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
    7. Sukru Acitas & Pelin Kasap & Birdal Senoglu & Olcay Arslan, 2013. "One-step M -estimators: Jones and Faddy's skewed t -distribution," Journal of Applied Statistics, Taylor & Francis Journals, vol. 40(7), pages 1545-1560, July.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:78:y:2014:i:c:p:153-158. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.