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?
Value
numeric constant giving the estimated scale.
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.
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.