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research article
The change-of-variance function of M-estimators of scale under general contamination
Genton, Marc
•
Rousseeuw, Peter
In this paper we derive the change-of-variance function of M-estimators of scale under general contamination, thereby extending the formula in Hampel et al. (1986). We say that an M-estimator is B-robust if its influence function is bounded, and we call it V-robust if its change-of-variance function is bounded from above. It is shown, for a natural class of M-estimators, that the general notion of V-robustness still implies B-robustness. Several classes of M-estimators are studied closely, as well as some typical examples and their interpretation.
Type
research article
Authors
Genton, Marc
•
Rousseeuw, Peter
Publication date
1995
Published in
Volume
64
Issue
1-2
Start page
69
End page
80
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
April 4, 2006
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