Algorithm A is the robust estimate of location described in ISO 5725-5:1998.
It proceeds by winsorisation and re-estimation of scale and location.
The argument k
controls the point at which values are Winsorised
and hence controls the efficiency. At k=1.5
, the value chosen by
ISO 5725, the estimator has asymptotic efficiency at the Normal of 0.964.
With iterated estimate of scale and k=1.5
, the estimator has a
breakdown point of about 30
The convergence criterion for Algorithm A is not specified in ISO 5725-5:1998.
The criterion chosen here is reasonably stringent but the results will differ
from those obtained using other choices. Use verbose=2
to check the
effect of different tolerance or maximum iteration count.
If verbose
is non-zero, the current iteration number
and estimate are printed; if verbose>1
, the current set
of truncated values \(w\) is also printed.