Robust estimation on a parametric model via testing

DOI10.3150/15-BEJ706zbMATH Open1360.62108arXiv1308.2927OpenAlexW2303243086MaRDI QIDQ282553FDOQ282553

Authors: Mathieu Sart 

Publication date: 12 May 2016

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We are interested in the problem of robust parametric estimation of a density from $n$ i.i.d. observations. By using a practice-oriented procedure based on robust tests, we build an estimator for which we establish non-asymptotic risk bounds with respect to the Hellinger distance under mild assumptions on the parametric model. We show that the estimator is robust even for models for which the maximum likelihood method is bound to fail. A numerical simulation illustrates its robustness properties. When the model is true and regular enough, we prove that the estimator is very close to the maximum likelihood one, at least when the number of observations $n$ is large. In particular, it inherits its efficiency. Simulations show that these two estimators are almost equal with large probability, even for small values of $n$ when the model is regular enough and contains the true density.

Full work available at URL: https://arxiv.org/abs/1308.2927

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zbMATH Keywords

parametric estimationrobust estimationrobust testsT-estimator

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35)

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Cited In (7)

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• A new method for estimation and model selection: \(\rho\)-estimation
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• Parametric robust test for several variances with unknown underlying distributions
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