Robust Estimators of Scale: Finite-Sample Performance in Long-Tailed Symmetric Distributions
稳健尺度估计量:长尾对称分布下的有限样本表现
This article presents the results of a Monte Carlo study of the robustness of scale estimates in the presence of long-tailed, symmetric distributions. The article examines the performance of several families of estimates in samples of size 20 from several distributions. The family of A-estimators, finite sample approximations to the asymptotic variance of M-estimators of location, appears to be more robust than the sample standard deviation, the median absolute deviation…