[RsR] A question about robust estimation of a mean from multiple instruments
Martin Maechler
m@ech|er @end|ng |rom @t@t@m@th@ethz@ch
Fri Jul 10 14:37:32 CEST 2020
>>>>> Ajay Shah
>>>>> on Fri, 10 Jul 2020 16:37:47 +0530 writes:
> 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.
> --
> Ajay Shah
> ajayshah using mayin.org
> http://www.mayin.org/ajayshah
Dear Ajay,
this is good question (even better would be *not* to use
econmetric language but stay with probability and statistics).
Yes, do provide the dput() (or other simple reproducible R code to *create*)
a sample data set, so we can use reproducible code here to
explore possible answers.
Best regards,
Martin
--
Martin Maechler
ETH Zurich and R Core Team
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