MU-Estimation and Smoothing

Z. J. Liu and C. R. Rao

Journal of Multivariate Analysis, 2001, vol. 76, issue 2, 277-293

Abstract: In the M-estimation theory developed by Huber (1964, Ann. Math. Statist.43, 1449-1458), the parameter under estimation is the value of [theta] which minimizes the expectation of what is called a discrepancy measure (DM) [delta](X, [theta]) which is a function of [theta] and the underlying random variable X. Such a setting does not cover the estimation of parameters such as the multivariate median defined by Oja (1983) and Liu (1990), as the value of [theta] which minimizes the expectation of a DM of the type [delta](X1, ..., Xm, [theta]) where X1, ..., Xm are independent copies of the underlying random variable X. Arcones et al. (1994, Ann. Statist.22, 1460-1477) studied the estimation of such parameters. We call such an M-type MU-estimation (or [mu]-estimation for convenience). When a DM is not a differentiable function of [theta], some complexities arise in studying the properties of estimators as well as in their computation. In such a case, we introduce a new method of smoothing the DM with a kernel function and using it in estimation. It is seen that smoothing allows us to develop an elegant approach to the study of asymptotic properties and possibly apply the Newton-Raphson procedure in the computation of estimators.

Keywords: data depth; discrepancy measure; estimating equation; kernel; multivariate median; M-estimation; MU-estimation; U-statistic (search for similar items in EconPapers)
Date: 2001
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