Distributions minimizing Fisher information for scale in [var epsilon]-contamination neighbourhoods

Eden K. H. Wu

Statistics & Probability Letters, 1992, vol. 14, issue 5, 373-383

Abstract: We consider the problem of finding those distributions minimizing Fisher information for scale over [var epsilon]-contamination neighbourhoods [var epsilon](G) = \s{F:F = (1 - [var epsilon])G + [var epsilon]H, [var epsilon] fixed, H arbitrary\s} of distribution functions G satisfying certain mild conditions. Huber (1981) worked out the solution when G is normal. The general form of the solution is being discussed in this paper.

Keywords: Robust; estimation; of; scale; minimum; Fisher; information; for; scale; M-estimates; of; scale; minimax; variance (search for similar items in EconPapers)
Date: 1992
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