Robust Scale Estimator Based on the Shortest Half

摘要

A new robust estimator of scale is considered, proportional to the length of the shortest half of the sample. The estimator is compared to the interquartile range and the median absolute deviation, that are also based on order statistics. All three estimators have the same influence function, but their breakdown points differ. It turns out that one needs a finite-sample correction factor which depends on mod(n,4) to achieve approximate unbiasedness. (Copyright (c) 1987 by Faculty of Mathematics and Informatics, Delft, The Netherlands.)