Breakdown properties of location $M$-estimators
Zhang, Jian ; Li, Guoying
Ann. Statist., Tome 26 (1998) no. 3, p. 1170-1189 / Harvested from Project Euclid
In this article, we consider the asymptotic behavior of three kinds of sample breakdown points. It is shown that for the location $M$-estimator with bounded objective function, both the addition sample breakdown point and the simplified replacement sample breakdown point strongly converge to the gross-error asymptotic breakdown point, whereas the replacement sample breakdown point strongly converges to a smaller value. In addition, it is proved that under some regularity conditions these sample breakdown points are asymptotically normal. The addition sample breakdown point has a smaller asymptotic variance than the simplified replacement sample breakdown point. For the commonly used redescending $M$-estimators of location, numerical results indicate that among the three kinds of sample breakdown points, the replacement sample breakdown point has the largest asymptotic variance.
Publié le : 1998-06-14
Classification:  Sample breakdown point,  redescending $M$-estimator,  asymptotics,  62F35
@article{1024691093,
     author = {Zhang, Jian and Li, Guoying},
     title = {Breakdown properties of location $M$-estimators},
     journal = {Ann. Statist.},
     volume = {26},
     number = {3},
     year = {1998},
     pages = { 1170-1189},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1024691093}
}
Zhang, Jian; Li, Guoying. Breakdown properties of location $M$-estimators. Ann. Statist., Tome 26 (1998) no. 3, pp.  1170-1189. http://gdmltest.u-ga.fr/item/1024691093/