M‐estimation in the presence of unequal scale

Noel Cressie

Statistica Neerlandica, 1980, vol. 34, issue 1, 19-32

Abstract: Abstract The class of weighted M‐estimators is defined. The ratio of the asymptotic variance of the weighted estimator to the asymptotic variance of the optimally weighted estimator is defined as the inefficiency. A Kantorovich inequality is proved, its implications are investigated for the misweighted mean and misweighted median, and the results are applied to a batch of demographic data.

Date: 1980
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