Domains of weak continuity of statistical functionals with a view toward robust statistics

DOI10.1016/J.JMVA.2017.02.005MaRDI QIDQ2359672zbMATH OpenOpenAlexFDO

Authors Volker Krätschmer, Henryk Zähle, Alexander Schied

Publication date 22 June 2017

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.08677

zbMATH Keywords

\((\psi_k)\)-weak topologyaggregation robustnessHampel's theoremlaw-invariant convex risk measuremaximum likelihood estimatorOrlicz spacequalitative robustnessw-set

Mathematics Subject Classification ID

Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Nonparametric estimation (62G05) Nonparametric robustness (62G35) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: Many standard estimators such as several maximum likelihood estimators or the empirical estimator for any law-invariant convex risk measure are not (qualitatively) robust in the classical sense. However, these estimators may nevertheless satisfy a weak (Kr"atschmer/Schied/Z"ahle 2012, 2014) or a local (Z"ahle 2016) robustness property on relevant sets of distributions. One aim of our paper is to identify sets of local robustness, and to explain the benefit of the knowledge of such sets. For instance, we will be able to demonstrate that many maximum likelihood estimators are robust on their natural parametric domains. A second aim consists in extending the general theory of robust estimation to our local framework. In particular we provide a corresponding Hampel-type theorem linking local robustness of a plug-in estimator with a certain continuity condition.

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Cited in

(22)

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