Maximizing the variance of M-estimators using the generalized method of moment spaces

DOI10.1214/aos/1176345460zbMath0479.62026OpenAlexW2068696592MaRDI QIDQ1162080

Stephen L. Portnoy, John R. Collins

Publication date: 1981

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176345460

zbMATH Keywords

linear functionalsrobust estimationinfinite dimensional convex setmaximum asymptotic variancemethod of moment spaces

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Robustness and adaptive procedures (parametric inference) (62F35) Existence theories in calculus of variations and optimal control (49J99)

Related Items (7)

Rejoinder: Confidence Intervals for Nonparametric Empirical Bayes Analysis ⋮ Asymptotic relative efficiency comparisions for some robust location estimators ⋮ Robust M-estimators of location vectors ⋮ Bias-robustL-estimators of a scale parameter ⋮ Comparisons of asymptotic biases and variances ofm-estimators of scale under asymmetric contamination ⋮ Min-max asymptotic variance of M-estimates of location when scale is unknown ⋮ Most robust M-estimators in the infinitesimal sense

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