Robust Estimation of Location
作者:
EdwinL. Crow,
M.M. Siddiqui,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1967)
卷期:
Volume 62,
issue 318
页码: 353-389
ISSN:0162-1459
年代: 1967
DOI:10.1080/01621459.1967.10482914
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
The problem of estimating a location parameter from a random sample when the form of distribution is unknown or there is contamination of the target distribution is attacked by deriving estimators which are efficient over a class of two or more forms (“pencils”) of continuous symmetric unimodal distributions. The pencils considered are the normal, double exponential, Cauchy, parabolic, triangular, and rectangular (a limiting case). The estimators considered are special symmetrical linear combinations of order statistics: trimmed means, Winsorized means, “linearly weighted” means, and a combination of the median and two other order statistics. These are also compared asymptotically with a Hodges-Lehmann estimator. The theory required for deriving asymptotic variances is outlined. Efficiences are tabulated for sample sizes of 4 or 5, 8 or 9, 16 or 17, and ∞. Asymptotic efficiences of at least 0.82 relative to the best estimator for any single pencil are achieved by using the best trimmed mean or linearly weighted mean over a range of pencils of distributions from the normal to the Cauchy. However, the combination of the median and two other order statistics is almost as efficient (0.80) over the same range.
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