Critical values for the Hampel identifier 1.0

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CreatedCreated : Sep 19, 2007
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Let X(1),X(2),...,X(N) be the ordered statistics of a ...

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 [1], 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).
Demands:
• MATLAB Release: R14SP1

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