Robust scale estimation in the error‐components model using the empirical characteristic function

Abstract

AbstractRobust estimators of the scale parameters in the error‐components model are described. The new estimators are based on the empirical characteristic functions of appropriate sets of residuals and are affine equivariant, consistent and asymptotically normal. The robustness of the new estimators is investigated via influence‐function calculations. The results of Monte Carlo experiments and an example based on real data illustrate the usefulness of the estimators.