Advantages
Redescending M-estimators have high breakdown points (close to 0.5), and their Ψ function can be chosen to redescend smoothly to 0. This means that moderately large outliers are not ignored completely, and greatly improves the efficiency of the redescending M-estimator.
The redescending M-estimators are slightly more efficient than the Huber estimator for several symmetric, wider tailed distributions, but about 20% more efficient than the Huber estimator for the Cauchy distribution. This is because they completely reject gross outliers, while the Huber estimator effectively treats these the same as moderate outliers.
As other M-estimators, but unlike other outlier rejection techniques, they do not suffer from masking effects.
Read more about this topic: Redescending M-estimator
Famous quotes containing the word advantages:
“No advantages in this world are pure and unmixed.”
—David Hume (1711–1776)
“When the manipulations of childhood are a little larceny, they may grow and change with the child into qualities useful and admire in the grown-up world. When they are the futile struggle for love and concern and protection, they may become the warped and ruthless machinations of adults who seek in the advantages of power what they could never win as children.”
—Leontine Young (20th century)
“The advantages found in history seem to be of three kinds, as it amuses the fancy, as it improves the understanding, and as it strengthens virtue.”
—David Hume (1711–1776)