RobustM-estimators of scale: Minimax bias versus maximal variance

DOI10.2307/3315492MaRDI QIDQ4262091zbMATH OpenOpenAlexFDO

Authors John R. Collins

Publication date 31 January 2000

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3315492

zbMATH Keywords

asymptotic efficiencyasymptotic varianceminimax asymptotic biasrobust estimationscale parameter

Mathematics Subject Classification ID

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

Recommendations

• Comparisons of asymptotic biases and variances ofm-estimators of scale under asymmetric contamination
• Bias robust estimation of scale
• Robust M- and L-estimators of scale parameter

Cites work

• A new infinitesimal approach to robust estimation
• Alternatives to the Median Absolute Deviation
• Bias robust estimation of scale
• Efficiency-constrained bias-robust estimation of location
• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• Lower bounds for contamination bias: Globally minimax versus locally linear estimation
• Maximal asymptotic biases and variances of symmetrized interquantile ranges under asymmetric contamination
• Robust Estimation of a Location Parameter
• The bias of \(k\)-step M-estimators

Cited in

(27)

• Bounds on asymptotic relative efficiencies of robust estimates of locations for contaminations by scale mixtures
• Robustness comparisons of some classes of location parameter estimators
• Fast highly efficient and robust one-step \(M\)-estimators of scale based on \(Q_n\)
• The change-of-variance function of \(M\)-estimators of scale under general contamination
• Efficiency comparison of M-estimates for scale at t-distributions
• Efficiency-constrained bias-robust estimation of location
• A note on the uniform asymptotic normality of location M-estimates
• Robust M- and L-estimators of scale parameter
• Maximal Asymptotic Biases ofM-Estimators of Location with Preliminary Scale Estimates
• A most bias-robust estimate of the location parameter: a general existence theorem
• On the bias–robustness in the location model I
• Maximal asymptotic biases and variances of symmetrized interquantile ranges under asymmetric contamination
• Comparisons of asymptotic biases and variances ofm-estimators of scale under asymmetric contamination
• Efficient bias-robust M-estimators of location in Kolmogorov normal neighbourhoods
• Bias-robustL-estimators of a scale parameter
• ON THE MINIMAX VARIANCE ESTIMATORS OF SCALE IN TIME TO FAILURE MODELS
• Robustness of confidence intervals for scale parameters based on m-estimators
• ASYMPTOTIC MINIMAX PROPERTIES OF L‐ESTIMATORS OF SCALE
• M‐Estimates of regression when the scale is unknown and the error distribution is possibly asymmetric: A minimax result
• Maxbias Curves of Robust Location Estimators based on Subranges
• M-Estimators of Scale with Minimum Gross Errors Sensitivity
• Minimax Asymptotic Mean-Squared-Error ofL-Estimators of Scale Parameter
• scientific article; zbMATH DE number 4182599 (Why is no real title available?)
• Maxbias curves of robust scale estimators based on subranges
• Bias robust estimation of scale
• Min-max asymptotic variance of M-estimates of location when scale is unknown
• Asymptotic minimax properties of M-estimators of scale

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