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

^*Corresponding author for this work

Economics

Research output: Contribution to journal › Article › peer-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 language	English (US)
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

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

Access to Document

10.1016/0167-7152(94)00221-S

Cite this

@article{ad2ec27db6c14861ac1fc1d7e2fffd27,

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.\}",

note = "Funding Information: 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.",

year = "1995",

month = nov,

day = "1",

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

language = "English (US)",

volume = "25",

pages = "185--192",

journal = "Statistics and Probability Letters",

issn = "0167-7152",

publisher = "Elsevier B.V.",

number = "2",

}

TY - JOUR

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

AU - Markatou, Marianthi

AU - Horowitz, Joel L.

AU - Lenth, Russell V.

N1 - Funding Information: 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.

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 - http://www.scopus.com/inward/record.url?scp=58149209184&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=58149209184&partnerID=8YFLogxK

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

Funding

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this