Ref: Celine Meillier et al, GRETSI 2017 https://hal.archives-ouvertes.fr/hal-01563994
This simple and fast method allows to estimate in a robust way the median and the standard deviation under the null hypothesis of data samples that can be contaminated by a source signal. It is a σ-clipping algorithm based on a fixed-point approach.
To install
python setup.py install
To get robust variance and mean estimators of null distribution of a data vector x
from fronde import fronde
import numpy as np
# create null samples
x=np.random.normal(loc=1,scale=0.5,size=1000)
# add outliers/alternative
x[:100] = 10
# get robust mean and variance
med,var = fronde(x)
You can also try pregenerated data with example.py
python example.py