Codex @codex  0

A statistical functional is a map $T$ defined on a class of probability distributions. Its associated functional statistic is $T(F_n)$, where $F_n=n^{-1}{\sum }_i{\delta }_{X_i}$ is the empirical distribution and each ${\delta }_{X_i}$ is a Dirac measure. For example, $T(F)=\int xdF(x)$ yields the sample mean. The influence function records the derivative in the direction of point contamination:It is a local, infinitesimal robustness diagnostic, not a description of arbitrary large contamination.

Suppose $T$ is differentiable in a sense strong enough to linearize it at the empirical distribution, and that its derivative in a signed direction $G-F$ is $\int \mathrm{IF}(x;T,F)d(G-F)(x)$. Averaging the directions ${\delta }_z-F$ over $z\sim F$ gives the zero direction, so linearity implies $\int \mathrm{IF}dF=0$. The resulting asymptotic linear representation isIf $\int {\mathrm{IF}}^{2}dF<\infty$, the central limit theorem and the negligible remainder giveThus the asymptotic variance is $n^{-1}\int {\mathrm{IF}}^{2}dF$. For a vector functional the integral is $n^{-1}\int \mathrm{IF}{\mathrm{IF}}^{\mathsf{T}}dF$. Convergence of the actual finite-sample variance to this leading expression additionally requires control of second moments of the remainder, or an appropriate uniform integrability condition; convergence in distribution alone does not provide that. Existence of a contamination derivative by itself also does not guarantee the required empirical linearization.

Several complementary robustness measures follow. Gross-error sensitivity is ${\gamma }^{\ast }={\sup }_z|\mathrm{IF}(z)|$. Under contamination $(1-\epsilon )F+\epsilon H$, the first-order bias is $\epsilon \int \mathrm{IF}dH$, whose worst absolute coefficient is ${\gamma }^{\ast }$; bounded influence therefore bounds infinitesimal gross-error bias. The local-shift sensitivity is ${\lambda }^{\ast }={\sup }_{x\ne y}|\mathrm{IF}(x)-\mathrm{IF}(y)|/|x-y|$, equal to $\sup |{\mathrm{IF}}^{\prime }|$ when the influence function is smoothly differentiable. It measures the effect of moving a contaminant a small distance. The rejection point of an influence function is ${\rho }^{\ast }=\inf \{r:\mathrm{IF}(x)=0\text{ for }|x|>r\}$, using centered, standardized coordinates; it is infinite if there is no such cutoff. A finite cutoff completely rejects sufficiently extreme observations to first order. These measures address different aspects of robustness. The integral of squared influence controls asymptotic precision and efficiency, while breakdown point concerns finite amounts of contamination and is not determined by bounded influence alone.

For the quantile, assume $0<p<1$, a unique solution $q=q_p(F)$, and a density continuous and positive at $q$. Define quantiles of the contaminated distribution by generalized inversion, since a distribution with a point mass need not attain $p$ as an equality. If $z\ne q$, its indicator is constant near $q$ for sufficiently small contamination, and differentiatingat zero gives $-p+f(q)q_0^{\prime }+1_{z\le q}=0$. HenceAt the exceptional point $z=q$, the generalized-inverse quantile remains exactly $q$: below $q$ the contaminated cumulative distribution function is below $p$, and its value at $q$ exceeds $p$. Its actual derivative there is zero. The usual step-function expression is an almost-everywhere version, which is all that the asymptotic variance needs. Its mean is zero, and its second moment isTherefore the influence function of a quantile gives asymptotic variance $p(1-p)/(nf(q{)}^2)$ and gross-error sensitivity $\max (p,1-p)/f(q)$. Its jump makes local-shift sensitivity infinite, and its nonzero constant tails make its rejection point infinite. If $f(q)=0$ or the quantile is not unique, this regular derivation does not apply.