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Algorithm 1034: An Accelerated Algorithm to Compute the Qn Robust Statistic, with Corrections to Constants
ACM Transactions on Mathematical Software ( IF 2.7 ) Pub Date : 2023-03-21 , DOI: https://dl.acm.org/doi/10.1145/3576920
Thierry Fahmy

The robust scale estimator Qn developed by Croux and Rousseeuw [3], for the computation of which they provided a deterministic algorithm, has proven to be very useful in several domains including in quality management and time series analysis. It has interesting mathematical (50% breakdown, 82% Asymptotic Relative Efficiency) and computing (O(nlogn) time, O(n) space) properties. While working on a faster algorithm to compute Qn, we have discovered an error in the computation of the d constant, and as a consequence in the dn constants that are used to scale the statistic for consistency with the variance of a normal sample. These errors have been reproduced in several articles including in the International Standard Organisation 13,528 [12] document. In this article, we fix the errors and present a new approach, which includes a new algorithm, allowing computations to run 1.3 to 4.5 times faster when n grows from 10 to 100,000.



中文翻译:

算法 1034:一种计算 Qn 稳健统计量的加速算法,对常量进行校正

由 Croux 和 Rousseeuw [3] 开发的鲁棒尺度估计器Q n,他们提供了一种确定性算法用于计算,已被证明在包括质量管理和时间序列分析在内的多个领域非常有用。它具有有趣的数学(50% 故障,82% 渐近相对效率)和计算(O(nlogn)时间,O ( n ) 空间)属性。在研究计算Q n的更快算法时,我们发现d常数的计算存在错误,因此d n用于缩放统计量以与正常样本的方差保持一致的常量。这些错误已在多篇文章中重现,包括国际标准组织 13,528 [12] 文档。在本文中,我们修复了错误并提出了一种新方法,其中包括一种新算法,当n从 10 增长到 100,000时,计算速度可以提高 1.3 到 4.5 倍。

更新日期:2023-03-21
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