Infinitesimally robust estimation in general smoothly parametrized models

DOI10.1007/S10260-010-0133-0zbMATH Open1333.62095arXiv0901.3531OpenAlexW3105486779MaRDI QIDQ257566FDOQ257566

Matthias Kohl, P. Ruckdeschel, H. Rieder

Publication date: 17 March 2016

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

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.

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The cost of not knowing the radius
• Asymptotic Statistics
• An adjusted boxplot for skewed distributions
• High breakdown-point and high efficiency robust estimates for regression
• Robust regression based on infinitesimal neighbourhoods
• Estimates derived from robust tests
• Estimation in semiparametric models. Some recent developments
• A robust asymptotic testing model
• Robust asymptotic statistics
• Parametric statistical theory: with the assistance of R. Hamböker
• Pathologies of some minimum distance estimators
• Optimal robust \(M\)-estimates of location
• A motivation for \(1/ \sqrt{n}\)-shrinking neighborhoods
• Short proofs on \(L_r\)-differentiability
• Optimal influence curves for general loss functions
• Redescending \(M\)-estimators

Cited In (6)

• Robust parameter estimation for the Ornstein-Uhlenbeck process
• Optimally robust estimators in generalized Pareto models
• Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM
• Sparse/Robust Estimation and Kalman Smoothing with Nonsmooth Log-Concave Densities: Modeling, Computation, and Theory
• ROptEst
• Optimal robust influence functions in semiparametric regression

Uses Software

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

This page was built for publication: Infinitesimally robust estimation in general smoothly parametrized models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q257566)