Optimal Robustness: A General Method, with Applications to Linear Estimators of Location
作者:
Allan Birnbaum,
Eugene Laska,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1967)
卷期:
Volume 62,
issue 320
页码: 1230-1240
ISSN:0162-1459
年代: 1967
DOI:10.1080/01621459.1967.10500928
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
A general method of determining efficiency-robust estimation and testing methods is presented. This is used to deriveadmissible linear unbiased estimators(ALUEs) having the following optimality property: Over a specified (finite) family of possible symmetric shapes of the error distribution, the estimator's respective variances cannot be jointly improved. Such estimators are generalizations of Lloyd's best linear unbiased estimators (BLUEs) determined for single shapes. Simple illustrative examples are given. Other applications of the method to estimation and testing problems are discussed briefly.
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