[RsR] A question about robust estimation of a mean from multiple instruments

[Rene Locher]

Use the argument "weight" in lmrob() for this purpose.

Am 10.07.20 um 13:07 schrieb Ajay Shah:
> I have a question about a robust location estimator when faced with the
> following situation:
> 
> There are n instruments, and each instrument has a different measurement
> standard error.
> 
> I can just treat the data x as i.i.d and our standard concepts of lmRob()
> would do a lot.
> 
> But in truth, in this problem, we know more. We have a standard error
> estimate of each instrument. We should be able to utilise this, e.g. when
> we see a weird value from an untrusted instrument we should be more willing
> to disregard it.
> 
> How would one go about this? I would greatly appreciate pointers. I am
> happy to place sample 25-observation datasets here if it's fun.
> 

-- 
Dr. René Locher
Zürcher Hochschule für Angewandte Wissenschaften (ZHAW)
Institut für Datenanalyse und Prozessdesign (IDP)
Rosenstrasse 3
CH-8401 Winterthur
http://www.zhaw.ch/idp
https://home.zhaw.ch/~lore/

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