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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