Minimax variance M-estimators in \(\epsilon\)-contamination models (Q1069593): Difference between revisions
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Latest revision as of 12:41, 19 March 2024
scientific article
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English | Minimax variance M-estimators in \(\epsilon\)-contamination models |
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Minimax variance M-estimators in \(\epsilon\)-contamination models (English)
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1985
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The problem of estimation of a location parameter is considered, when the \(\epsilon\)-contamination model \(f(x)=(1-\epsilon)h(x)+\epsilon g(x)\) is used. The authors investigate the form of the minimax variance solutions. Differently from the well-known result of \textit{P. J. Huber} [Ann. math. Stat. 35, 73-101 (1964; Zbl 0136.398)], the known density h is not necessarily strongly unimodal, and definite results are obtained under mild regularity conditions on h. Minimax variance problems for multivariate location and scale parameters are also studied.
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robust estimation
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M-estimators
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epsilon contamination
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minimax variance solutions
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