BIAS COMPARISONS OF ROBUST ESTIMATORS OF SCALE PARAMETER
We consider three classes of scale estimators: M-estimators,L-estimators and the a%-Shorth (the length of the shortest of the data) and study their comparative asymptotic performance under gross-error contamination of the distribution from which the data arises. Asymptotic bias curves are compared for different estimators which have been standardized to have the same gross-error sensitivity (GES). The main results are: (1) When is strongly unimodal, symmetrized interquantile ranges have better performance than their non-symmetrized counterparts, in the sense that their bias curves are uniformly lower. However, for symmetric but non-unimodal symmetrization can sometimes result in uniformly higher bias curves. (2) The bias curve for the 50%-Shorth is uniformly lower than that of the MAD when is symmetric and strongly unimodal.
robust estimation, scale parameter, M-estimators, L-estimators, Shorth estimator, maximum asymptotic bias.