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mscale

Robust M-estimate of Scale

Compute the M-estimate of scale using the MAD as initial estimate.

mscale(
  x,
  delta = 0.5,
  rho = c("bisquare", "huber", "gauss"),
  cc,
  eps = 1e-08,
  maxit = 200
)

`x`	numeric vector.
`delta`	desired value for the right-hand side of the M-estimation equation.
`rho`	rho function to use in the M-estimation equation. Valid options are `bisquare`, `huber` and `gauss`.
`cc`	non-negative constant for the chosen rho function. If missing, it will be chosen such that the expected value of the rho function under the normal model is equal to `delta`.
`eps`	threshold for convergence. Defaults to `1e-8`.
`maxit`	maximum number of iterations. Defaults to `200`.

This solves the M-estimation equation given by

∑_{i=1}^n ρ( x_i / s_n; cc ) = n delta

All NA values in x are removed before calculating the scale.

Numeric vector of length one containing the solution s_n to the equation above.

Pena-Yohai Initial Estimator for Robust S-Regression

v1.1.1

GPL (>= 2)

Authors

David Kepplinger [aut, cre], Matias Salibian-Barrera [aut], Gabriela Cohen Freue [aut]

Initial release

2020-11-23