On the optimality of S-estimators

Ola Hössjer

Statistics & Probability Letters, 1992, vol. 14, issue 5, 413-419

Abstract: The efficiency of an S-estimator in the linear model is maximized under a constraint on the breakdown point and the form of the optimal score function is derived. Numerical calculations for normally distributed errors are performed, and the maximal possible efficiency is then 0.33 when the breakdown point equals 0.5.

Keywords: Asymptotic; efficiency; breakdown; point; robust; linear; regression; S-estimator (search for similar items in EconPapers)
Date: 1992
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