Robust scale estimation based on the the empirical characteristic function

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

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

7 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 languageEnglish (US)
Pages (from-to)185-192
Number of pages8
JournalStatistics and Probability Letters
Volume25
Issue number2
DOIs
StatePublished - Nov 1 1995

Funding

The work of Marianthi Markatou was supported in part by NSF grant DMS-9008846 and that of Joel Horowitz by NSF grant SBR-9307677. Both authors were supported in part by NSF grant DMS-9208820. We thank Bruce Lindsay for helpful comments on a previous draft of the paper.

Keywords

  • Breakdown point
  • Characteristic function
  • Influence function
  • Scale parameter

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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