Robust fixed size confidence procedures for a restricted parameter space
alpha trimmed meansasymptotic behavior of the robust median- minimax estimatorsglobally minimax admissible Bayes procedureslocation parameternon-Gaussian uncertainty classesnonrandomized odd monotone proceduresrobust alpha minimax rulesRobust fixed size confidence proceduresrobust minimax decision problemrobust minimax estimatorszero-one loss function
Robust fixed size confidence procedures are derived for the location parameter \(\theta\) of a sample of N i.i.d. observations of a scalar random variable Z with CDF \(F(z-\theta)\). Here, \(\theta\) is restricted to a closed interval \(\Omega\) and the uncertainty in F is modeled by an uncertainty class \({\mathcal F}\). These robust confidence procedures are, in turn, based on the solution of a related robust minimax decision problem that is characterized by a zero-one loss function, the parameter space \(\Omega\) and the uncertainty class \({\mathcal F}.\) Sufficient conditions for the existence of robust minimax and robust median-minimax estimators are delineated. Sufficient conditions on \({\mathcal F}\) are obtained such that (i) both types of rules are minimax within the class of nonrandomized odd monotone procedures and (ii) subject to additional conditions, both types of rules are globally minimax admissible Bayes procedures. The paper concludes with an examination of the asymptotic behavior of the robust median-minimax estimators and their extensions to the robust \(\alpha\)-minimax rules, which are based on the \(\alpha\)-trimmed mean.
- Optimal fixed size confidence procedures for a restricted parameter space
- Asymptotic distribution of the sample size and small sample behavior of robust fixed-width confidence intervals
- A Robust Confidence Interval for Location
- scientific article; zbMATH DE number 879753
- Asymptotically Fully Efficient Fixed-Width Confidence Intervals for a Location Parameter
This page was built for publication: Robust fixed size confidence procedures for a restricted parameter space
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1106580)
