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Robust estimation of location and scale

2012; Linguagem: Inglês

10.1002/9780470057339.vnn093

Christophe Croux, Catherine Dehon,

Statistical Distribution Estimation and Applications

Abstract Sample mean and standard deviation are the classical estimators of the location and scale parameters of a statistical distribution. They are, however, unreliable in the presence of outliers. Robust alternatives have been proposed, of which the median and the median absolute deviation are best known. Several robust estimators of location and scale are reviewed and their properties discussed. The multivariate case is also discussed.