کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
8147249 | 1524143 | 2017 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
High-efficiency and robust M-estimates of the scale parameter on the Q-estimate basis
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
فیزیک و نجوم
فیزیک اتمی و مولکولی و اپتیک
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چکیده انگلیسی
The commonly employed highly efficient and robust Q-estimate of the scale parameter proposed by Rousseeuw and Croux has been approximated using computationally fast Huber M-estimates. The suggested M-estimates were shown to be robust and highly efficient for an arbitrary underlying data distribution due to correctly choosing the approximation parameters. The following indicators of the efficiency and robustness of M-estimates of scale were computed: their asymptotic variances, influence functions and breakdown points. Special attention was given to the particular cases of the Gaussian and Cauchy distributions. It is noteworthy that for the Cauchy distribution, the suggested robust estimate of scale coincides with the maximal likelihood estimate. Finally, the computation time of these highly efficient and robust estimates of scale is 3-4 times less than for the corresponding Q-estimates.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: St. Petersburg Polytechnical University Journal: Physics and Mathematics - Volume 3, Issue 3, October 2017, Pages 239-241
Journal: St. Petersburg Polytechnical University Journal: Physics and Mathematics - Volume 3, Issue 3, October 2017, Pages 239-241
نویسندگان
Pavel O. Smirnov, Ivan S. Shirokov, Georgiy L. Shevlyakov,