Finite Sample Breakdown of $M$- and $P$-Estimators
Huber, Peter J.
Ann. Statist., Tome 12 (1984) no. 1, p. 119-126 / Harvested from Project Euclid
The finite sample breakdown properties of $M$-estimators, defined by $\sum\rho(x_i - T) = \min!$, and of the associated Pitman-type or $P$-estimators, defined by $T = \frac{\int \exp\{-\Sigma \rho(x_i - \theta)\}\theta d\theta}{\int \exp\{-\Sigma\rho(x_i - \theta)\} d\theta},$ are investigated. If $\rho$ is symmetric, and $\psi = \rho'$ is monotone and bounded, then the breakdown point of either estimator is $\varepsilon^\ast = 1/2$. If $\psi$ decreases to 0 for large $x$ ("redescending estimators"), the same result remains true if $\rho$ is unbounded. For bounded $\rho$, the $P$-estimator is undefined, and the breakdown point of the $M$-estimator typically is slightly less than $1/2$; it is calculated in explicit form.
Publié le : 1984-03-14
Classification:  Breakdown point,  robustness,  $M$-estimators,  $P$-estimators,  redescending estimators,  62F35
@article{1176346396,
     author = {Huber, Peter J.},
     title = {Finite Sample Breakdown of $M$- and $P$-Estimators},
     journal = {Ann. Statist.},
     volume = {12},
     number = {1},
     year = {1984},
     pages = { 119-126},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176346396}
}
Huber, Peter J. Finite Sample Breakdown of $M$- and $P$-Estimators. Ann. Statist., Tome 12 (1984) no. 1, pp.  119-126. http://gdmltest.u-ga.fr/item/1176346396/