Most robust M-estimators in the infinitesimal sense View Full Text


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Article Info

DATE

1982-12

AUTHORS

Peter J. Rousseeuw

ABSTRACT

The change-of-variance curve (CVC) is generalized to M-estimators with piecewise continuous ψ-functions, in which case it becomes a Schwartz distribution. An M-estimator is called most B-robust when it minimizes Hampel's gross-error sensitivity γ*, and most V-robust when it minimizes the change-of-variance sensitivity k*. In the general case, the median is most B-robust and most V-robust. If consideration is restricted to redescending M-estimators, then the skipped median is most B-robust and the median-type tanh-estimator is most V-robust. By means of these results, complete solutions of the problems of optimal infinitesimal robustness are obtained. More... »

PAGES

541-551

References to SciGraph publications

  • 1981-03. A new infinitesimal approach to robust estimation in PROBABILITY THEORY AND RELATED FIELDS
  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/bf00531623

    DOI

    http://dx.doi.org/10.1007/bf00531623

    DIMENSIONS

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