RobLox (version 1.2.3)

rlsOptIC.Hu2: Computation of the optimally robust IC for Hu2 estimators

Description

The function rlsOptIC.Hu2 computes the optimally robust IC for Hu2 estimators in case of normal location with unknown scale and (convex) contamination neighborhoods. These estimators were proposed in Example 6.4.1 of Huber (1981). A definition of these estimators can also be found in Subsection 8.5.1 of Kohl (2005).

Usage

rlsOptIC.Hu2(r, k.start = 1.5, c.start = 1.5, delta = 1e-06, MAX = 100)

Value

Object of class "IC"

Arguments

r

non-negative real: neighborhood radius.

k.start

positive real: starting value for k.

c.start

positive real: starting value for c.

delta

the desired accuracy (convergence tolerance).

MAX

if k1 or k2 are beyond the admitted values, MAX is returned.

Author

Matthias Kohl

Details

The computation of the optimally robust IC for Hu2 estimators is based on optim where MAX is used to control the constraints on k and c. The optimal values of the tuning constants k and c can be read off from the slot Infos of the resulting IC.

References

Huber, P.J. (1981) Robust Statistics. New York: Wiley.

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.Hu2(r = 0.1)
checkIC(IC1)
Risks(IC1)
Infos(IC1)
plot(IC1)
infoPlot(IC1)