mscale

0th

Percentile

M Scale Estimation

Robust estimation of a scale parameter using Hampel's redescending psi function.

Usage
mscale(u, na.rm=FALSE)
Arguments
u
numeric vector of residuals.
na.rm
logical. Should missing values be removed?
Details

Estimates a scale parameter or standard deviation using an M-estimator with 50% breakdown. This means the estimator is highly robust to outliers. If the input residuals u are a normal sample, then mscale(u) should be equal to the standard deviation.

Value

  • numeric constant giving the estimated scale.

References

Yohai, V. J. (1987). High breakdown point and high efficiency robust estimates for regression. Ann. Statist. 15, 642-656. Stromberg, A. J. (1993). Computation of high breakdown nonlinear regression parameters. J. Amer. Statist. Assoc. 88, 237-244. Smyth, G. K., and Hawkins, D. M. (2000). Robust frequency estimation using elemental sets. Journal of Computational and Graphical Statistics 9, 196-214.

Aliases
  • mscale
Examples
u <- rnorm(100)
sd(u)
mscale(u)
Documentation reproduced from package statmod, version 1.4.13, License: LGPL (>= 2)

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