Min-max asymptotic variance of M-estimates of location when scale is unknown

DOI10.1016/0167-7152(91)90131-AMaRDI QIDQ809499zbMATH OpenFDO

Authors Bing Li, Ruben H. Zamar

Publication date 1991

Published in Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

residualsmedianinfluence curvescore functionrescalingmin-max problemlocation-scale central modelM-estimate of locationmaximum likelihood score functionmin-max asymptotic variancesymmetric distribution functions

Mathematics Subject Classification ID

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

Recommendations

• M‐Estimates of regression when the scale is unknown and the error distribution is possibly asymmetric: A minimax result
• Robust \(M\)- and \(L\)-estimators of scale parameter
• Minimax variance M-estimators of location in Kolmogorov neighbourhoods
• RobustM-estimators of scale: Minimax bias versus maximal variance
• Bias robust estimation of scale

Cites work

• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Maximizing the variance of M-estimators using the generalized method of moment spaces
• Min-max bias robust regression
• Robust Estimates of Location: Symmetry and Asymmetric Contamination
• Robust Estimation of a Location Parameter
• Robust Statistics
• Robust estimation of a location parameter in the presence of asymmetry
• Upper bounds on asymptotic variances of M-estimators of location

Cited in

(17)

• M‐Estimates of regression when the scale is unknown and the error distribution is possibly asymmetric: A minimax result
• Efficiency rate and local deficiency of Huber’s location estimators and of the α-estimators
• Minimax Asymptotic Mean-Squared-Error ofL-Estimators of Scale Parameter
• Robust \(M\)- and \(L\)-estimators of scale parameter
• Optimal robust \(M\)-estimates of location
• A smoothing principle for the Huber and other location M-estimators
• Minimax-varianceL- andR-estimators of location
• The \(50\%\) breakdown point in simultaneous \(M\)-estimation of location and scale
• scientific article; zbMATH DE number 3956210 (Why is no real title available?)
• scientific article; zbMATH DE number 3844823 (Why is no real title available?)
• Minimax variance M-estimators of location in Kolmogorov neighbourhoods
• On the minimax property for R-estimators of location
• Maximal Asymptotic Biases ofM-Estimators of Location with Preliminary Scale Estimates
• Minimax estimators for location vectors in elliptical distributions with unknown scale parameter and its application to variance reduction in simulation
• scientific article; zbMATH DE number 3868429 (Why is no real title available?)
• A Simple Diagnostic Plot Connecting Robust Estimation, Outlier Detection, and False Discovery Rates
• Robustness against unexpected dependence in the location model

This page was built for publication: Min-max asymptotic variance of M-estimates of location when scale is unknown

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q809499)