MMLEs are as good as M-estimators or better

Moti L. Tiku and Baris Sürücü

Statistics & Probability Letters, 2009, vol. 79, issue 7, 984-989

Abstract: Tiku-Suresh modified maximum likelihood estimators necessitate the assumption of a particular distribution. New forms of the estimators which, like Huber M-estimators, only assume that the distribution is long-tailed symmetric (unspecified) are given. They have high breakdown and, through simulations, are shown to be overall more efficient than M-estimators.

Date: 2009
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