污染分布下的Lp估计抗差测度

The Robust Measure of Lp Estimation Under Contaminated Distribution

  • 摘要: 观测数据中含有粗差或异常值扰动的误差分布可视为污染分布。根据M估计理论,导出了Lp估计的影响函数,分析了Lp估计的抗差能力,并用效率来测度估计的优劣、综合抗差能力和效率,指出观测数据中含有粗差的扰动,应用p为1.2,1.5的Lp估计来进行处理。

     

    Abstract: Based on the theory for M-estimation of the location parameters. the influence functions of the Lp estimation (one dimension and multi-dimension) have been derived and the robustness of Lp estimation has been analyzed while the observational errors obey the contaminated distribution which the data include the outliers disturbed. and the asymptotic variance and efficiency of Lp estimation have been determined too. The properties of Lp estimation have been discussed in the both robustness and efficiency. The observations with outliers disturbed can be processed using Lp estimation which the parameter p should be between 1.2 and 1.5.

     

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