## RobustMFit.jl

Methods to estimate parameters of a distribution robustly
Author ManuelStapper
Popularity
1 Star
Updated Last
11 Months Ago
Started In
August 2022

# RobustMFit.jl

A Julia package to estimate parameters of a univariate distribution robustly by M-estimation. Currently implemented are Tukey, Huber, Andrew and Hampel functions as well as smoothed versions of the latter three. User-defined functions can be added using the NewMFunction.jl template.

Different estimation approaches are implemented:

## Function types

Estimation can be carried out by minimizing a loss function (ρ-type), finding the root of its derivative (ψ-type) or iteratively by a weight function (w-type).

## Method of Moments

The parameters can be estimated either directly or by estimating the raw moments of the distribution and translating them to parameters.

## Bias Correction

Estimation is only unbiased in general if the underlying distribution is symmetric. A potential bias must also be taken into account for symmetric distributions with multiple parameters. Esimating for example the mean of a Normal distribution with symmetric (ρ, ψ or w)-function is unproblematic, but estimating the variance parameter is not, since the distribution of $X^2$ is asymmetric.

The bias can be tackled by a correction term in the $\psi$ estimation or by using asymmetric (ρ, ψ or w)-functions. For asymmetric functions, different tuning constants are selected for positive and negative input. One of those is kept constant while the other is chosen such that the estimator is consistent.

# Examples

d = Poisson(10)
x = rand(d, 100)

# For ρ-Esimation, Moment based and updating lower tuning constant
λ = Mfit(x, d, Huber(1.5), type=, MM=true, biasCorr=:L)

# ψ-Estimation, estimate parameters directly, update upper tuning constant
Mfit(x, d, Tukey(4), type = , MM = false, biasCorr = :U)
# w-Estimation, Moment based, not accounting for asymmetry at all
Mfit(x, d, Tukey(4), type = , MM = false, biasCorr = :N)
# Or the same, but accounting for it with correction term
Mfit(x, d, Tukey(4), type = , MM = false, biasCorr = :C)

# Computing the asymptotic variance of the first estimation
AVar(Poisson(λ), Huber(1.5), :L)
# Or estimating it using the sample
AVar(x, Poisso(λ), Huber(1.5), :L)

# Comparing the robust estaimtion with ML estimation by relative asymptotic efficiency
RAE(Poisson(λ), Huber(1.5), :L)

### Required Packages

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### Used By Packages

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