Opened 12 years ago
Closed 12 years ago
#666 closed request (fixed)
Tukey biweight estimator
| Reported by: | Peter | Owned by: | Peter |
|---|---|---|---|
| Priority: | major | Milestone: | yat 0.8 |
| Component: | statistics | Version: | trunk |
| Keywords: | Cc: |
Description (last modified by )
defined as weighted sum
sum(w*x)/sum(w) where w is defined as (1-u2)2 (if |u|<1; 0 otherwise) and u=(x-median)/(C*mad) where C is a user defined constant/parameter.
Change History (4)
comment:1 Changed 12 years ago by
| Description: | modified (diff) |
|---|
comment:2 Changed 12 years ago by
comment:3 Changed 12 years ago by
comment:4 Changed 12 years ago by
| Resolution: | → fixed |
|---|---|
| Status: | new → closed |
(In [2510]) added TukeyBiweightEstimator?. closes #666
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Turns out definition is u=(x-m)/(C*mad) where m is the estimate so one need to solve the equation in iteration. A common approximation is the one-step procedure where one replace m with median. In the full fledge version it seems clever to start with the one-step solution and then iterate from there.