Robustness of the Simultaneous Estimators of Location and Scale From Approximating a Histogram by a Normal Density Curve

A. S. Hedayat and Guoqin Su

The American Statistician, 2012, vol. 66, issue 1, 25-33

Abstract: The robust properties of the simultaneous estimators of location and scale parameters (μ*, σ*) proposed by Brown and Hwang are studied. As a pair of simultaneous M estimators of location and scale, their asymptotic efficiencies (0.650 for μ* and 0.541 for σ*) are higher than those for median (0.637) and median absolute deviation (0.368) under the normal distribution. Simulation indicates that the distributions of and are much flatter than those based on the sample mean and the sample standard deviation under the normal distribution when the sample size is small.

Date: 2012
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DOI: 10.1080/00031305.2012.663665

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