R: M Scale Estimation

mscale {statmod} | R Documentation

## M Scale Estimation

### Description

Robust estimation of a scale parameter using Hampel's redescending psi function.

### Usage

    mscale(u, na.rm=FALSE)

### Arguments

`u` | numeric vector of residuals.
`na.rm` | logical. Should missing values be removed?

### Details

Estimates a scale parameter or standard deviation using an M-estimator with 50% breakdown. This means the estimator is highly robust to outliers. If the input residuals `u` are a normal sample, then `mscale(u)` should be equal to the standard deviation.

### Value

numeric constant giving the estimated scale.

### Author(s)

Gordon Smyth

### References

Yohai, V. J. (1987). High breakdown point and high efficiency robust estimates for regression. Ann. Statist. 15, 642-656.

Stromberg, A. J. (1993). Computation of high breakdown nonlinear regression parameters. J. Amer. Statist. Assoc. 88, 237-244.

Smyth, G. K., and Hawkins, D. M. (2000). Robust frequency estimation using elemental sets. Journal of Computational and Graphical Statistics 9, 196-214.

### Examples

    u <- rnorm(100)
    sd(u)
    mscale(u)

[Package statmod version 1.4.36 Index]