Infinitesimally robust estimation in general smoothly parametrized models

DOI10.1007/S10260-010-0133-0MaRDI QIDQ257566zbMATH OpenOpenAlexFDO

Authors Matthias Kohl, P. Ruckdeschel, H. Rieder

Publication date 17 March 2016

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0901.3531

zbMATH Keywords

total variationexponential familyasymptotically linear estimatorsHellinger neighborhoodsinfluence curvesminmax MSEone-step constructionshrinking contamination

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Robustness and adaptive procedures (parametric inference) (62F35)

Abstract: We describe the shrinking neighborhood approach of Robust Statistics, which applies to general smoothly parametrized models, especially, exponential families. Equal generality is achieved by object oriented implementation of the optimally robust estimators. We evaluate the estimates on real datasets from literature by means of our R packages ROptEst and RobLox.

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Cites work

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Cited in

(8)

• scientific article; zbMATH DE number 3878158 (Why is no real title available?)
• Optimal robust influence functions in semiparametric regression
• Optimally robust estimators in generalized Pareto models
• ROptEst
• Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM
• Robust parameter estimation for the Ornstein-Uhlenbeck process
• Sparse/Robust Estimation and Kalman Smoothing with Nonsmooth Log-Concave Densities: Modeling, Computation, and Theory
• Robustness, infinitesimal neighborhoods, and moment restrictions

Describes a project that uses

Uses Software

• R
• robustbase
• ROBETH
• MASS (R)
• SoDA
• robust
• ROptEst
• distrEx
• RobLox
• RobASt
• rrcov
• distrMod
• distr
• RobAStBase

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