<abstract xmlns="http://www.w3.org/1999/xhtml"><p>Recent research on the use of M-estimation methodology for detecting and treating verified influential values in economic surveys found that initial parameter settings affect effectiveness. In this article, we explore the basic question of how to develop initial settings for the M-estimation parameters. The economic populations that we studied are highly skewed and are consequently highly stratified. While we investigated settings for several parameters, the most challenging problem was to develop an “automatic” data-driven method for setting the initial value of the tuning constant <italic>φ,</italic> the parameter with the greatest influence on performance of the algorithm. Of all the methods that we considered, we found that methods defined in terms of the accuracy of published estimates can be implemented on a large scale and yielded the best performance. We illustrate the methodology with an empirical analysis of 36 consecutive months of data from 19 industries in the Monthly Wholesale Trade Survey.</p></abstract>

Recent research on the use of M-estimation methodology for detecting and treating verified influential values in economic surveys found that initial parameter settings affect effectiveness. In this article, we explore the basic question of how to develop initial settings for the M-estimation parameters. The economic populations that we studied are highly skewed and are consequently highly stratified. While we investigated settings for several parameters, the most challenging problem was to develop an “automatic” data-driven method for setting the initial value of the tuning constant φ, the parameter with the greatest influence on performance of the algorithm. Of all the methods that we considered, we found that methods defined in terms of the accuracy of published estimates can be implemented on a large scale and yielded the best performance. We illustrate the methodology with an empirical analysis of 36 consecutive months of data from 19 industries in the Monthly Wholesale Trade Survey.

Setting M-Estimation Parameters for Detection and Treatment of Influential Values

Journal of Official Statistics

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Recent research on the use of M-estimation methodology for detecting and treating verified influential values in economic surveys found that initial parameter...

Setting M-Estimation Parameters for Detection and Treatment of Influential Values

Published Online: Jun 07, 2018

Page range: 483 - 501

Received: Nov 01, 2016

Accepted: Oct 01, 2017

DOI: https://doi.org/10.2478/jos-2018-0022

Keywords
Outlier, economic surveys, Monthly Wholesale Trade Survey

© 2018 Mary H. Mulry et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Setting M-Estimation Parameters for Detection and Treatment of Influential Values

Published Online: Jun 07, 2018

Page range: 483 - 501

Received: Nov 01, 2016

Accepted: Oct 01, 2017

DOI: https://doi.org/10.2478/jos-2018-0022

KeywordsOutlier, economic surveys, Monthly Wholesale Trade Survey

© 2018 Mary H. Mulry et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Keywords
Outlier, economic surveys, Monthly Wholesale Trade Survey