On Some Alternative Estimates for Shift in the $P$-Variate One Sample Problem
Bickel, Peter J.
Ann. Math. Statist., Tome 35 (1964) no. 4, p. 1079-1090 / Harvested from Project Euclid
The vector of medians $\mathbf{M}_n$ and the vector of medians of averages of pairs $\mathbf{W}_n$ are investigated as competitors of the vector mean $\dot{\mathbf{X}}_n$ in estimating the location parameters in the $p$-variate one-sample problem. These estimates are found to be asymptotically normal and unbiased. Necessary and sufficient conditions for the degeneracy of the asymptotic distribution of $\mathbf{M}_n$ and $\mathbf{W}_n$ are given. For $\mathbf{W}_n$, in the case $p = 2$, these reduce to the condition that one coordinate variable be a monotone function of the other. Sufficient symmetry conditions are given for the asymptotic independence of the coordinates of these estimates. $\mathbf{W}_n$ and $\mathbf{M}_n$ when compared to $\dot{\mathbf{X}}_n$ in terms of the Wilks generalized variance are robust in the case of asymptotically independent coordinates. But for $p \geqq 3$ they can have arbitrarily small efficiency even in the non-singular $p$-variate normal case, if the underlying distribution is permitted to approach a suitable degenerate distribution arbitrarily closely. For $p = 2$, in the normal case, $\mathbf{W}_n$ is highly efficient, although $\mathbf{M}_n$ can have arbitrarily small efficiency. However, $\mathbf{W}_n$ is also shown to have arbitrarily small efficiency for a suitable highly correlated family of distributions even in the case $p = 2$. On the other hand, $\mathbf{W}_n$ becomes infinitely more efficient than $\dot{\mathbf{X}}_n$ as a given fixed distribution is mixed with an increasingly heavy gross error distribution. The behavior of these estimates is also considered for other non-normal families.
Publié le : 1964-09-14
Classification: 
@article{1177703266,
     author = {Bickel, Peter J.},
     title = {On Some Alternative Estimates for Shift in the $P$-Variate One Sample Problem},
     journal = {Ann. Math. Statist.},
     volume = {35},
     number = {4},
     year = {1964},
     pages = { 1079-1090},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177703266}
}
Bickel, Peter J. On Some Alternative Estimates for Shift in the $P$-Variate One Sample Problem. Ann. Math. Statist., Tome 35 (1964) no. 4, pp.  1079-1090. http://gdmltest.u-ga.fr/item/1177703266/