A new projection estimate for multivariate location with minimax bias

Jorge G. Adrover and Víctor J. Yohai

Journal of Multivariate Analysis, 2010, vol. 101, issue 6, 1400-1411

Abstract: The maximum asymptotic bias of an estimator is a global robustness measure of its performance. The projection median estimator for multivariate location shows a remarkable behavior regarding asymptotic bias. In this paper we consider a modification of the projection median estimator which renders an estimate with better bias performance for point mass contaminations (the worst situation for the projection median estimator). Moreover, it achieves the lowest bound for an equivariant estimate for point mass contaminations.

Keywords: Projection; estimates; Maximum; bias; Robust; estimates; Multivariate; location (search for similar items in EconPapers)
Date: 2010
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