Research of the mean cook distance and the robust estimate of scale parameter

Abstract

Based on the principle of statistics and the research results by Zhu Jianjun, the paper establishes the mean Cook distance of scale parameter and studies its properties. The paper still presents the robust estimate of scale parameter with minimum mean Cook distance and theoretically shows that scale parameter is not “nuisance parameter” and it determined by the plus weight squared sums of the residuals of observations. A simple numerical example is given.

Keywords

Cook distance / robust estimate / scale parameter