A note on robust estimation of location

Probal Chaudhuri and Debapriya SenGupta

Statistics & Probability Letters, 1993, vol. 18, issue 3, 241-244

Abstract: A modified version of the usual M-estimation problem is proposed, and sample median is shown to be a solution of this problem for a wide range of choices of the score function. It exposes certain universality in the robustness of sample median in the univariate case, and this property continues to hold even in multivariate set-ups if we consider the multivariate L1-median. Some interesting facts related to this 'modified M-estimation' are discussed, and the consequences of a similar modification of the traditional maximum likelihood approach are explored.

Keywords: Modified; M-estimation; score; function; median; unbiasedness; multivariate; L1-median; modified; maximum; likelihood (search for similar items in EconPapers)
Date: 1993
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0167-7152(93)90223-6
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:18:y:1993:i:3:p:241-244

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

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 ().