EconPapers    
Economics at your fingertips  
 

Robust estimation of a location parameter with the integrated Hogg function

Leopoldo Catania and Alessandra Luati

Statistics & Probability Letters, 2020, vol. 164, issue C

Abstract: We study the properties of an M-estimator arising from the minimization of an integrated version of the quantile loss function. The estimator depends on a tuning parameter which controls the degree of robustness. We show that the sample median and the sample mean are obtained as limit cases. Consistency and asymptotic normality are established and a link with the Hodges–Lehmann estimator and the Wilcoxon test is discussed. Asymptotic results indicate that high levels of efficiency can be reached by specific choices of the tuning parameter. A Monte Carlo analysis investigates the finite sample properties of the estimator. Results indicate that efficiency can be preserved in finite samples by setting the tuning parameter to a low fraction of a (robust) estimate of the scale.

Keywords: M-estimators; Scoring rules; Quantile function; Robustness (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715220301152
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:164:y:2020:i:c:s0167715220301152

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2020.108812

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-19
Handle: RePEc:eee:stapro:v:164:y:2020:i:c:s0167715220301152