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Robust Estimation of Location Using Optimally Chosen Sample Quantiles

 

作者: LaiK. Chan,   LennartS. Rhodin,  

 

期刊: Technometrics  (Taylor Available online 1980)
卷期: Volume 22, issue 2  

页码: 225-237

 

ISSN:0040-1706

 

年代: 1980

 

DOI:10.1080/00401706.1980.10486138

 

出版商: Taylor & Francis Group

 

关键词: Robust estimation of location parameter;Asymptotically best linear estimate;Tukey's lambda family;Adaptive procedure;Optimum spacing;Sample quantiles

 

数据来源: Taylor

 

摘要:

Robust estimation of the location parameter α based on selected order statistics is considered. The distribution function is only known to belong to a subset of a setDof distributions consisting of Tukey's lambda family of symmetric distributions with the inverse distribution function of the form α + β/γ) [λγ– (1 – λ)γ], 0 ≤ λ ≤ 1, and the normal, Cauchy and double exponential distributions. The scale parameter β can be unknown. In the setD, distributions with tail length varying from short to extremely long, when the shape parameter γ varies, are included. The asymptotically best linear estimate (ABLE) based onk(k= 2(1)5) optimally chosen symmetrical sample quantiles is considered. It can be used as a robust estimate and is shown to compete favorably with optimally trimmed and Winsorized means, in the sense of giving a higher guaranteed relative asymptotic efficiency (GRAE) for subsets ofD. Tables are provided so that the robustk-ABLE giving the highest GRAE for any subset ofDcan easily be obtained. An adaptive procedure of trying to identify the prototype by means of estimating the tail length is suggested.

 

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