Minimax Variance M-Estimators in $\varepsilon$-Contamination Models
Collins, John R. ; Wiens, Douglas P.
Ann. Statist., Tome 13 (1985) no. 1, p. 1078-1096 / Harvested from Project Euclid
In the framework of Huber's theory of robust estimation of a location parameter, minimax variance M-estimators are studied for error distributions with densities of the form $f(x) = (1 - \varepsilon)h(x) + \varepsilon g(x)$, where $g$ is unknown. A well-known result of Huber (1964) is that when $h$ is strongly unimodal, the least informative density $f_0 = (1 - \varepsilon)h + \varepsilon g_0$ has exponential tails. We study the minimax variance solutions when the known density $h$ is not necessarily strongly unimodal, and definitive results are obtained under mild regularity conditions on $h$. Examples are given where the support of the least informative contaminating density $g_0$ is a set of form: (i) $(-b, -a) \cup (a, b)$ for some $0 < a < b < \infty$; (ii) $(- < a < \infty;$ and (iii) a countable collection of disjoint sets. Minimax variance problems for multivariate location and scale parameters are also studied, with examples given of least informative distributions that are substochastic.
Publié le : 1985-09-14
Classification:  Robust estimation,  M-estimators,  minimax variance,  62F35,  62F12
@article{1176349657,
     author = {Collins, John R. and Wiens, Douglas P.},
     title = {Minimax Variance M-Estimators in $\varepsilon$-Contamination Models},
     journal = {Ann. Statist.},
     volume = {13},
     number = {1},
     year = {1985},
     pages = { 1078-1096},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176349657}
}
Collins, John R.; Wiens, Douglas P. Minimax Variance M-Estimators in $\varepsilon$-Contamination Models. Ann. Statist., Tome 13 (1985) no. 1, pp.  1078-1096. http://gdmltest.u-ga.fr/item/1176349657/