Critical values for the Hampel identifier (Scripts) Publisher's description
from Manuel Cebrian
Let X(1),X(2),...,X(N) be the ordered statistics of a sample X1,X2,...,XN from a normal distribution
Let X(1),X(2),...,X(N) be the ordered statistics of a sample X1,X2,...,XN from a normal distribution. Let
M = median([X1,X2,...,XN]) and S = mad([X1,X2,..XN],1)/.6745 be robust stimators of (respectively) the mean and standard deviation of the distribution.
The Hampel identifier is a rule which identifies as outliers all values of the sample X satisfying
|X-M|/S > g(N,alpha).
The function g(N,alpha) serves for standardizing the identifier in the
following way (see , p. 783, standardization (4)):
P(no outliers in the sample) = P(|X(N)-M)|/S < g(N,alpha)) = 1 - alpha.
This matlab function calculates the critical values, i.e. g(N,alpha).
System Requirements:MATLAB 7.0.1 (R14SP1)
Program Release Status: New Release
Program Install Support: Install and Uninstall