A Location Estimator Based on a $U$-Statistic
Maritz, J. S. ; Wu, Margaret ; Stuadte, R. G.
Ann. Statist., Tome 5 (1977) no. 1, p. 779-786 / Harvested from Project Euclid
Let $X_1, \cdots, X_n$ be i.i.d. $F$, and estimate the median of $F$ by the median $T_\beta$ of $\beta X_i + (1 - \beta)X_j, i \neq j$, where $\beta$ is a fixed positive constant. Then $T_\beta$ is the solution of a $U$-statistic equation from which its asymptotic normality is readily derived. The asymptotic relative efficiency of $T_\beta$ is computed for a few cdfs $F$ and seen to be reasonably high for unintuitive choices such as $\beta = .9, \beta = 2$, and also to be remarkably constant for $\beta > 1$. Moreover, the influence curves and breakdown points of $\{T_\beta: \beta > 0\}$ are derived and indicate that the good robustness properties of the Hodges-Lehmann estimator $(\beta = \frac{1}{2})$ are shared by the entire class. Monte Carlo estimates of the variance of $T_\beta$ for sample sizes $n = 10, 20$, and 40 indicate that some of these estimators perform as well as those discussed in the Princeton Robustness Study when the underlying $F$ is double-exponential or Cauchy.
Publié le : 1977-07-14
Classification:  Location estimator,  $U$-statistic,  robustness,  influence curve,  breakdown point,  asymptotic relative efficiency,  Hodges-Lehmann estimator,  62G05,  62G35
@article{1176343900,
     author = {Maritz, J. S. and Wu, Margaret and Stuadte, R. G.},
     title = {A Location Estimator Based on a $U$-Statistic},
     journal = {Ann. Statist.},
     volume = {5},
     number = {1},
     year = {1977},
     pages = { 779-786},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176343900}
}
Maritz, J. S.; Wu, Margaret; Stuadte, R. G. A Location Estimator Based on a $U$-Statistic. Ann. Statist., Tome 5 (1977) no. 1, pp.  779-786. http://gdmltest.u-ga.fr/item/1176343900/