Fast Computation of the Hodges–Lehmann Estimator with the Monahan Algorithm

This post presents the Monahan algorithm for computing the Hodges–Lehmann estimator in O(n log n) time, making it practical for large samples. In Pragmastat, this estimator is Center — the recommended robust location estimator. Confidence intervals are available via CenterBounds . pragmastat.dev github.com/AndreyAkinshin/pragmastat The Hodges–Lehmann location estimator ([[hodges1963]]) is a robust…