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Recursive location and scale estimators |
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| Authors: | Murray A Cameron T Rolf Turner |
| Institution: | 1. CSIRO, Division of Mathematics &2. Statistics , Lihdfield, 2070, AustraliaPO Box 218;3. Department of Mathematics , University of New Brunswick , Fredericton, N.B, E3B 5A3, Canada |
| Abstract: | It is shown that a recursive estimator with the same asymptotic properties as the median has convergence properties in finite samples which depend heavily on the scale of the data. A simple modification which adjusts for the scale is suggested and its application illustrated on simulated data. The modified estimator has much improved properties which are similar to those of the sample (non-recursive) median. |
| Keywords: | robust estimation stochastic approximation mean deviation recursive estimation |