Article (Scientific journals)
Maxbias curves of robust scale estimators based on subranges
Croux, C.; Haesbroeck, Gentiane
2001In Metrika, 53 (2), p. 101-122
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Keywords :
breakdown point; maxbias curve; robustness; scale estimation
Abstract :
[en] A maxbias curve is a powerful tool to describe the robustness of an estimator. It is an asymptotic concept which tells how much an estimator can change due to a given fraction of contamination. In this paper, maxbias curves are computed for some univariate scale estimators based on subranges: trimmed standard deviations, interquantile ranges and the univariate Minimum Volume Ellipsoid (MVE) and Minimum Covariance Determinant (MCD) scale estimators. These estimators are intuitively appealing and easy to calculate. Since the bias behavior of scale estimators may differ depending on the type of contamination (outliers or inliers), expressions for both explosion and implosion maxbias curves are given. On the basis of robustness and efficiency arguments, the MCD scale estimator with 25% breakdown point can be recommended for practical use.
Disciplines :
Mathematics
Author, co-author :
Croux, C.
Haesbroeck, Gentiane ;  Université de Liège - ULiège > Département de mathématique > Statistique (aspects théoriques)
Language :
English
Title :
Maxbias curves of robust scale estimators based on subranges
Publication date :
2001
Journal title :
Metrika
ISSN :
0026-1335
eISSN :
1435-926X
Publisher :
Springer Science & Business Media B.V.
Volume :
53
Issue :
2
Pages :
101-122
Peer reviewed :
Peer Reviewed verified by ORBi
Available on ORBi :
since 18 November 2009

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