For an estimator written as a functional of the data’s law, the influence function at is : the effect on the estimate of an infinitesimal contamination at the point (Hampel, 1974). The breakdown point is the smallest fraction of the sample that, replaced by arbitrary values, can carry the estimate arbitrarily far.
Quantitative Finance · Begrippenlijst
Wat is Influence function, breakdown point?
Ook bekend als: influence function · breakdown point