pense (version 2.5.2)

mlocscale: Compute the M-estimate of Location and Scale

Description

Simultaneous estimation of the location and scale by means of M-estimates.

Usage

mlocscale(
  x,
  bdp = 0.25,
  eff = 0.9,
  scale_cc,
  location_rho,
  location_cc,
  opts = mscale_algorithm_options()
)

Value

a vector with 2 elements, the M-estimate of location and the M-scale estimate.

Arguments

x

numeric values. Missing values are verbosely ignored.

bdp

desired breakdown point (between 0 and 0.5).

eff

desired efficiency of the location estimate (between 0.1 and 0.99).

scale_cc

tuning constant for the \(\rho\) function for computing the scale estimate. By default, chosen to yield a consistent estimate for normally distributed values.

location_rho

\(\rho\) function for computing the location estimate. If missing, use the same function as for the scale estimate (opts$rho). See rho_function() for a list of available \(\rho\) functions.

location_cc

tuning constant for the location \(\rho\) function. By default chosen to yield the desired efficiency. If this is provided, the desired efficiency is ignored.

opts

a list of options for the M-scale estimating equations, See mscale_algorithm_options() for details.

See Also

Other functions to compute robust estimates of location and scale: mloc(), mscale(), tau_size()