| Autor: |
Rudolf Frühwirth, Wolfgang Waltenberger |
| Jazyk: |
angličtina |
| Rok vydání: |
2016 |
| Předmět: |
|
| Zdroj: |
Austrian Journal of Statistics, Vol 37, Iss 3&4 (2016) |
| Druh dokumentu: |
article |
| ISSN: |
1026-597X |
| DOI: |
10.17713/ajs.v37i3&4.310 |
| Popis: |
A new type of redescending M-estimators is constructed, based on data augmentation with an unspecified outlier model. Necessary and sufficient conditions for the convergence of the resulting estimators to the Hubertype skipped mean are derived. By introducing a temperature parameter the concept of deterministic annealing can be applied, making the estimator insensitive to the starting point of the iteration. The properties of the annealing M-estimator as a function of the temperature are explored. Finally, two applications are presented. The first one is the robust estimation of interaction vertices in experimental particle physics, including outlier detection. The second one is the estimation of the tail index of a distribution from a sample using robust regression diagnostics. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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