[RsR] A question about robust estimation of a mean from multiple instruments

Ajay Shah 
    on Fri, 10 Jul 2020 16:37:47 +0530 writes:

> I have a question about a robust location estimator when faced with the
    > following situation:

    > There are n instruments, and each instrument has a different measurement
    > standard error.

    > I can just treat the data x as i.i.d and our standard concepts of lmRob()
    > would do a lot.

    > But in truth, in this problem, we know more. We have a standard error
    > estimate of each instrument. We should be able to utilise this, e.g. when
    > we see a weird value from an untrusted instrument we should be more willing
    > to disregard it.

    > How would one go about this? I would greatly appreciate pointers. I am
    > happy to place sample 25-observation datasets here if it's fun.

    > -- 
    > Ajay Shah
    > ajayshah at mayin.org
    > http://www.mayin.org/ajayshah

Dear Ajay,

this is good question (even better would be *not* to use
econmetric language but stay with probability and statistics).

Yes, do provide the dput() (or other simple reproducible R code to *create*)
a sample data set, so we can use reproducible code here to
explore possible answers.

Best regards,
Martin

--
Martin Maechler
ETH Zurich  and   R Core Team