Robust scale estimation based on the the empirical characteristic function

Marianthi Markatou; Joel L. Horowitz; Russell V. Lenth

doi:10.1016/0167-7152(94)00221-S

Robust scale estimation based on the the empirical characteristic function

Marianthi Markatou
, Joel L. Horowitz
, Russell V. Lenth

Department of Biostatistics

University of Iowa

Research output: Contribution to journal › Article › peer-review

9 Scopus citations

Abstract

A new estimator of the scale parameter σ of an absolutely continuous distribution F[(x - μ)/σ] in a location-scale family is described. The estimator is based on the empirical characteristic function of the data. It is affine equivariant, strongly consistent, asymptotically normal and has desirable robustness properties.

Original language	English
Pages (from-to)	185-192
Number of pages	8
Journal	Statistics and Probability Letters
Volume	25
Issue number	2
DOIs	https://doi.org/10.1016/0167-7152(94)00221-S
State	Published - Nov 1 1995

Keywords

Breakdown point
Characteristic function
Influence function
Scale parameter

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10.1016/0167-7152(94)00221-S

Cite this

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title = "Robust scale estimation based on the the empirical characteristic function",

abstract = "A new estimator of the scale parameter σ of an absolutely continuous distribution F[(x - μ)/σ] in a location-scale family is described. The estimator is based on the empirical characteristic function of the data. It is affine equivariant, strongly consistent, asymptotically normal and has desirable robustness properties.",

keywords = "Breakdown point, Characteristic function, Influence function, Scale parameter",

author = "Marianthi Markatou and Horowitz, \{Joel L.\} and Lenth, \{Russell V.\}",

year = "1995",

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doi = "10.1016/0167-7152(94)00221-S",

language = "English",

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T1 - Robust scale estimation based on the the empirical characteristic function

AU - Markatou, Marianthi

AU - Horowitz, Joel L.

AU - Lenth, Russell V.

PY - 1995/11/1

Y1 - 1995/11/1

N2 - A new estimator of the scale parameter σ of an absolutely continuous distribution F[(x - μ)/σ] in a location-scale family is described. The estimator is based on the empirical characteristic function of the data. It is affine equivariant, strongly consistent, asymptotically normal and has desirable robustness properties.

AB - A new estimator of the scale parameter σ of an absolutely continuous distribution F[(x - μ)/σ] in a location-scale family is described. The estimator is based on the empirical characteristic function of the data. It is affine equivariant, strongly consistent, asymptotically normal and has desirable robustness properties.

KW - Breakdown point

KW - Characteristic function

KW - Influence function

KW - Scale parameter

UR - https://www.scopus.com/pages/publications/58149209184

U2 - 10.1016/0167-7152(94)00221-S

DO - 10.1016/0167-7152(94)00221-S

M3 - Article

AN - SCOPUS:58149209184

SN - 0167-7152

VL - 25

SP - 185

EP - 192

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 2

ER -

Robust scale estimation based on the the empirical characteristic function

Abstract

Keywords

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