In the estimation of a location parameter the Hodges-Lehmann estimator is known to have some "robust" properties, but it is very "expensive" for large sample sizes. By using the linearity of a special rank statistic we can find a linearized version which requires only $O(n \log n)$ operations.
Publié le : 1974-11-14
Classification:
One-sample problem,
linear rank statistic,
asymptotic variance,
weak convergence of stochastic processes,
62G05,
62G25,
62E15,
60F05
@article{1176342883,
author = {Antille, Andre},
title = {A Linearized Version of the Hodges-Lehmann Estimator},
journal = {Ann. Statist.},
volume = {2},
number = {1},
year = {1974},
pages = { 1308-1313},
language = {en},
url = {http://dml.mathdoc.fr/item/1176342883}
}
Antille, Andre. A Linearized Version of the Hodges-Lehmann Estimator. Ann. Statist., Tome 2 (1974) no. 1, pp. 1308-1313. http://gdmltest.u-ga.fr/item/1176342883/