The change-of-variance function of M-estimators of scale under general contamination

被引：9

作者：

Genton, MG

Rousseeuw, PJ

机构：

[1] SWISS FED INST TECHNOL,DEPT MATH,APPL STAT GRP,CH-1015 LAUSANNE,SWITZERLAND

[2] UNIV INSTELLING ANTWERP,DEPT MATH,B-2610 WILRIJK,BELGIUM

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 1995年 / 64卷 / 1-2期

关键词：

influence function; change-of-variance function; B-robustness; V-robustness;

D O I：

10.1016/0377-0427(95)00007-0

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper we derive the change-of-variance function of M-estimators of scale under general contamination, thereby extending the formula in Hampel et al. (1986). We say that an M-estimator is B-robust if its influence function is bounded, and we call it V-robust if its change-of-variance function is bounded from above. It is shown, for a natural class of M-estimators, that the general notion of V-robustness still implies B-robustness. Several classes of M-estimators are studied closely, as well as some typical examples and their interpretation.

引用

页码：69 / 80

页数：12