mlocscale: Compute the M-estimate of Location and Scale

In pense: Penalized Elastic Net S/MM-Estimator of Regression

Compute the M-estimate of Location and Scale

Description

Simultaneous estimation of the location and scale by means of M-estimates.

Usage

mlocscale(
  x,
  bdp = 0.25,
  scale_cc = consistency_const(bdp, "bisquare"),
  location_rho,
  location_cc,
  opts = mscale_algorithm_options()
)

Arguments

x	numeric values. Missing values are verbosely ignored.
bdp	desired breakdown point (between 0 and 0.5).
scale_cc	cutoff value for the bisquare ρ function for computing the scale estimate. By default, chosen to yield a consistent estimate for normally distributed values.
location_rho, location_cc	ρ function and cutoff value for computing the location estimate. See rho_function() for a list of available ρ functions.
opts	a list of options for the M-estimating equation, see mscale_algorithm_options() for details.

Value

a vector with 2 elements, the M-estimate of location and the M-scale estimate.

See Also

Other functions to compute robust estimates of location and scale: mloc(), mscale(), tau_size()

pense documentation built on Feb. 16, 2023, 9:36 p.m.