Yunfan Ma

Robust Scale Estimators

Robust statistical methods have been developed for many common problems, such as estimating location, scale parameters. The objective of this presentation is to introduce several useful robust estimators for scale parameters including interquartile range(IQR) and median absolute deviation(MAD). Another robust and highly efficient estimator of scale which was proposed by Rousseeuw and Croux will also be introduced. Two important measures used to describe and assess robustness of estimators are, the influence function and the breakdown point. Finally, a simple simulation study is conducted to compare the robust scale estimators, and some properties of these estimators will be discussed.