const: Correction factors to achieve unbiasedness of the Qn scale...

In robfilter: Robust Time Series Filters

Correction factors to achieve unbiasedness of the Qn scale estimator

Description

This matrix contains correction factors for the univariate Qn scale estimator (Rousseeuw, Croux, 1993) to achieve unbiasedness under Gaussian noise. The madore.filter estimates the local error covariance matrix by the orthogonalized Gnanadesikan-Kettenring estimator (Gnanadesikan, Kettenring, 1972, Maronna, Zamar, 2002) which is based on the Qn scale estimator.

Usage

const

Format

A (96x2)-matrix containing the correction factors for the univariate Qn scale estimator for the samples sizes n=10,11,...,100,200,300,400,500,1000.

Source

The correction factors have been obtained by simulations.

References

Gnanadesikan, R., Kettenring, J.R. (1972) Robust Estimates, Residuals, and Outlier Detection with Multiresponse Data, Biometrics 28, 81-124.

Maronna, R.A., Zamar, R.H. (2002) Robust Estimates of Location and Dispersion for High-Dimensional Datasets, Technometrics 44, 307-317.

Rousseeuw, P.J., Croux, C. (1993) Alternatives to the Median Absolute Deviation, Journal of the American Statistical Association 88, 1273-1283.

robfilter documentation built on Nov. 10, 2022, 5:41 p.m.