Measures of location (without assumption of symmetry) are defined as functionals satisfying certain equivariance and order conditions. Three classes of such measures are discussed whose estimators are respectively linear functions of order statistics, $R$-estimators and $M$-estimators. It is argued that such measures can be compared in terms of the (asymptotic) efficiencies of their estimators. Of the three classes considered, it is found that trimmed expectations (and certain other weighted quantiles) are the only ones which are both robust and whose estimators have guaranteed high efficiency relative to the mean $\bar{X}$ for all underlying distributions.
Publié le : 1975-09-14
Classification:
Measures of location,
robustness,
efficiency,
linear combinations of order statistics,
trimmed means,
estimators derived from rank tests,
Huber's maximum likelihood estimators,
heavy-tailed distributions,
Tukey model,
62G99,
62G05,
62G20,
62G35
@article{1176343240,
author = {Bickel, P. J. and Lehmann, E. L.},
title = {Descriptive Statistics for Nonparametric Models II. Location},
journal = {Ann. Statist.},
volume = {3},
number = {1},
year = {1975},
pages = { 1045-1069},
language = {en},
url = {http://dml.mathdoc.fr/item/1176343240}
}
Bickel, P. J.; Lehmann, E. L. Descriptive Statistics for Nonparametric Models II. Location. Ann. Statist., Tome 3 (1975) no. 1, pp. 1045-1069. http://gdmltest.u-ga.fr/item/1176343240/