Compute the robust scale estimator FastQn, an efficient alternative to the MAD,
a fast alternative to the Qn.
Usage
FastQn(x, center = median(x), scale = mad(x, center))
fqn(x, center = median(x), scale = mad(x, center))
s_FastQn(x, mu.too = FALSE, center = median(x), ...)
Arguments
x
numeric vector of observations.
center
optionally, the center: defaults to the median.
scale
optionally, the basic scale: defaults to the median absolute deviation.
mu.too
logical indicating if the center should also be returned for s_FastQn().
...
potentially further arguments for s_FastQn() passed to FastQn().
Value
FastQn() returns a number, the FastQn robust scale estimator.s_FastQn(x, mu.too=TRUE) returns a length-2 vector with location and scale;
this is typically only useful for covOGK(*, sigmamu = s_FastQn) or
robcor(*, scaler = s_FastQn).
Details
This function computes one-step M-estimate of scale based on provided
robust estimate (defaults to the MAD). It gives 50% breakdown point
and Gaussian efficiency about 80%.
The fqn function is a shorter alias, like sd and
mad.
References
Smirnov, P. O., Shevlyakov, G. L. (2010). On Approximation of the Qn-Estimate of Scale by Fast M-Estimates.
In Book of Abstracts: International Conference on Robust Statistics (ICORS 2010) (pp. 94-95). Prague, Czech Republic.