Robust estimation of scale of an exponential distribution

U. Gather and V. Schultze

Statistica Neerlandica, 1999, vol. 53, issue 3, 327-341

Abstract: We consider the standardized median as an estimator of scale for exponential samples which is most B‐robust in the sense of Hampel et al. (1986). This estimator is compared with two other estimators which were proposed to Rousseeuw and Croux (1993) but for a Gaussian model. All three estimators have the same breakdown point, but their bias curves are different. It is shown that under a gross error model the explosion bias curve of the most B‐robust estimator performs better than the bias curves of the other estimators. But this estimator is worse than the two estimators proposed by Rousseeuw and Croux (1993) if the implosion bias curve is considered.

Date: 1999
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