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A robust scale estimator based on the shortest half
Author(s) -
Rousseeuw P.J.,
Leroy A.M.
Publication year - 1988
Publication title -
statistica neerlandica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.52
H-Index - 39
eISSN - 1467-9574
pISSN - 0039-0402
DOI - 10.1111/j.1467-9574.1988.tb01224.x
Subject(s) - estimator , mathematics , statistics , sample mean and sample covariance , trimmed estimator , bias of an estimator , range (aeronautics) , least absolute deviations , scale (ratio) , sample (material) , robust statistics , u statistic , minimum variance unbiased estimator , physics , materials science , quantum mechanics , composite material , thermodynamics
A new robust estimator of scale is considered, which is proportional to the length of the shortest half of the sample. The estimator is compared to the interquartile range and the median absolute deviation, that are also based on order statistics. All three estimators have the same influence function, but their breakdown points differ. It also turns out that one needs a finite‐sample correction factor which depends on mod(sample size, 4) to achieve approximate unbiasedness at normal distributions.