RobLox (version 1.2.3)

rlsOptIC.Hu1: Computation of the optimally robust IC for Hu1 estimators

Description

The function rlsOptIC.Hu1 computes the optimally robust IC for Hu1 estimators in case of normal location with unknown scale and (convex) contamination neighborhoods. These estimators were proposed by Huber (1964), Proposal 2. A definition of these estimators can also be found in Subsection 8.5.1 of Kohl (2005).

Usage

rlsOptIC.Hu1(r, kUp = 2.5, delta = 1e-06)

Value

Object of class "IC"

Arguments

r

non-negative real: neighborhood radius.

kUp

positive real: the upper end point of the interval to be searched for k.

delta

the desired accuracy (convergence tolerance).

Author

Matthias Kohl

Details

The optimal value of the tuning constant k can be read off from the slot Infos of the resulting IC.

References

Huber, P.J. (1964) Robust estimation of a location parameter. Ann. Math. Stat. 35: 73--101.

M. Kohl (2005). Numerical Contributions to the Asymptotic Theory of Robustness. Dissertation. University of Bayreuth. https://epub.uni-bayreuth.de/id/eprint/839/2/DissMKohl.pdf.

See Also

IC-class

Examples

IC1 <- rlsOptIC.Hu1(r = 0.1)
checkIC(IC1)
Risks(IC1)
Infos(IC1)
plot(IC1)
infoPlot(IC1)