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Contamination games in a robust k–sample model

 

作者: HELMUT RIEDER,  

 

期刊: Statistics  (Taylor Available online 1987)
卷期: Volume 18, issue 4  

页码: 527-562

 

ISSN:0233-1888

 

年代: 1987

 

DOI:10.1080/02331888708802050

 

出版商: Akademie-Verlag

 

关键词: 62 F 35;62 C 20;Saddle points;least favorable contamination;bounded–influence estimator;HELLINGER;total variation;∈ –contamination balls

 

数据来源: Taylor

 

摘要:

Given a k–sample model indexed by one real parameter θ,the statistician's task is considered to estimate θ robustly when Nature may assign varying contamination to each sample subject to some overall average contamination. After determining the estimators which are asymptotically optimum for a fixed contamination, asymptotic minimax estimators. least favorable contaminations, and saddle points are derived for the contamination game. Different loss criteria are employed: asymptotic variance, confidence interval loss, mean squared error, and general non–negative, monotone, convex loss. The different kinds of contamination used are: constant(symmetric)∈–contamination in the variance case, and for the other loss criteria infinitesimal contamination of the types: HELLINGER, total variation, ∈–contamination.Minimax estimators for infinitesimal contamination are obtained by uniformly bounding the influence curves(∈–contamination, total variation) or their variance (HELLINGER). The existence of saddle points is shown quite generally, only for infinitesimal ∈– contamination depending on a proporrionality property of the minimax influence curve. In all cases, the least favorable contamination assignt largest contamination to the most informative samples.

 

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