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Quantitative Finance · Glossaire

Qu'est-ce que « Influence function, breakdown point » ?

Aussi appelé : influence function · breakdown point

Definition 15.1 Quantitative Methods · Chapitre 15 — Robust Statistics and Heavy Tails

For an estimator written as a functional T(F)T(F) of the data’s law, the influence function at xx is IF(x)=lim⁡ε→0(T((1−ε)F+εδx)−T(F))/ε\mathrm{IF}(x) = \lim_{\varepsilon \to 0}\bigl(T((1 - \varepsilon)F + \varepsilon\delta_x) - T(F)\bigr)/\varepsilon: the effect on the estimate of an infinitesimal contamination at the point xx (Hampel, 1974). The breakdown point is the smallest fraction of the sample that, replaced by arbitrary values, can carry the estimate arbitrarily far.

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