Redescending M-estimator - Advantages

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:

    For, the advantages which fashion values, are plants which thrive in very confined localities, in a few streets, namely. Out of this precinct, they go for nothing; are of no use in the farm, in the forest, in the market, in war, in the nuptial society, in the literary or scientific circle, at sea, in friendship, in the heaven of thought or virtue.
    Ralph Waldo Emerson (1803–1882)

    There is no one thoroughly despicable. We cannot descend much lower than an idiot; and an idiot has some advantages over a wise man.
    William Hazlitt (1778–1830)

    There are great advantages to seeing yourself as an accident created by amateur parents as they practiced. You then have been left in an imperfect state and the rest is up to you. Only the most pitifully inept child requires perfection from parents.
    Frank Pittman (20th century)