Statistics – Methodology
Scientific paper
2010-06-18
Austrian Journal of Statistics, Volume 37 (2008), Number 3 & 4, 301-317
Statistics
Methodology
Scientific paper
A new type of redescending M-estimators is constructed, based on data augmentation with an unspecified outlier model. Necessary and sufficient conditions for the convergence of the resulting estimators to the Hubertype skipped mean are derived. By introducing a temperature parameter the concept of deterministic annealing can be applied, making the estimator insensitive to the starting point of the iteration. The properties of the annealing M-estimator as a function of the temperature are explored. Finally, two applications are presented. The first one is the robust estimation of interaction vertices in experimental particle physics, including outlier detection. The second one is the estimation of the tail index of a distribution from a sample using robust regression diagnostics.
Frühwirth Rudolf
Waltenberger Wolfgang
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