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
2012-01-01
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.File in questo prodotto:
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