In this paper we present a robust estimator for location and scale param- eters. Our estimator is adaptive in the sense that does not require any complex fine tuning. Moreover it is fast to compute, and it shows interesting properties in empiri- cal experiments. Here we give a brief description of the estimator and we comment on its performance when compared to well established estimators such as the MCD.

Adaptive robust location-scale estimation

CORETTO, Pietro
2012

Abstract

In this paper we present a robust estimator for location and scale param- eters. Our estimator is adaptive in the sense that does not require any complex fine tuning. Moreover it is fast to compute, and it shows interesting properties in empiri- cal experiments. Here we give a brief description of the estimator and we comment on its performance when compared to well established estimators such as the MCD.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11386/3796477
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