A Note on Huber's Robust Estimation of a Location Parameter
Sacks, Jerome ; Ylvisaker, Donald
Ann. Math. Statist., Tome 43 (1972) no. 6, p. 1068-1075 / Harvested from Project Euclid
Huber, in his fundamental paper [1] and in [2], has considered the robust estimation of a location parameter and has obtained results which he applied to some examples including the $\varepsilon$-normal model, $\{F|\sup_x|F(x) - \Phi(x)\mid \leqq \varepsilon, F \text{symmetric}\}$, when $\varepsilon$ is sufficiently small $(\varepsilon \leqq \varepsilon_0 \sim .03)$. In this note we show how his methods work for the family of distributions $\{F \mid \int^A_{-A} dF \geqq p, F \text{symmetric}\}$ and then use this to solve the $\varepsilon$-normal problem when $\varepsilon > \varepsilon_0$.
Publié le : 1972-08-14
Classification: 
@article{1177692460,
     author = {Sacks, Jerome and Ylvisaker, Donald},
     title = {A Note on Huber's Robust Estimation of a Location Parameter},
     journal = {Ann. Math. Statist.},
     volume = {43},
     number = {6},
     year = {1972},
     pages = { 1068-1075},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177692460}
}
Sacks, Jerome; Ylvisaker, Donald. A Note on Huber's Robust Estimation of a Location Parameter. Ann. Math. Statist., Tome 43 (1972) no. 6, pp.  1068-1075. http://gdmltest.u-ga.fr/item/1177692460/