FastQn | R Documentation |
Compute the robust scale estimator FastQn, an efficient alternative to the MAD, a fast alternative to the Qn.
FastQn(x, center = median(x), scale = mad(x, center)) fqn(x, center = median(x), scale = mad(x, center)) s_FastQn(x, mu.too = FALSE, center = median(x), ...)
x |
numeric vector of observations. |
center |
optionally, the center: defaults to the median. |
scale |
optionally, the basic scale: defaults to the median absolute deviation. |
mu.too |
logical indicating if the |
... |
potentially further arguments for |
This function computes one-step M-estimate of scale based on provided robust estimate (defaults to the MAD). It gives 50% breakdown point and Gaussian efficiency about 80%.
The fqn
function is a shorter alias, like sd
and
mad
.
FastQn()
returns a number, the FastQn robust scale estimator.
s_FastQn(x, mu.too=TRUE)
returns a length-2 vector with location and scale;
this is typically only useful for covOGK(*, sigmamu = s_FastQn)
or
robcor(*, scaler = s_FastQn)
.
Paul Smirnov <s.paul@mail.ru>
Smirnov, P. O., Shevlyakov, G. L. (2010). On Approximation of the Qn-Estimate of Scale by Fast M-Estimates. In Book of Abstracts: International Conference on Robust Statistics (ICORS 2010) (pp. 94-95). Prague, Czech Republic.
mad
, Qn
.
set.seed(153) x <- sort(c(rnorm(80), rt(20, df = 1))) s_FastQn(x, mu.too=TRUE) FastQn(x)
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