Yet another breakdown point notion: EFSBP

Peter Ruckdeschel () and Nataliya Horbenko ()

Metrika: International Journal for Theoretical and Applied Statistics, 2012, vol. 75, issue 8, 1025-1047

Abstract: The breakdown point in its different variants is one of the central notions to quantify the global robustness of a procedure. We propose a simple supplementary variant which is useful in situations where we have no obvious or only partial equivariance: Extending the Donoho and Huber (The notion of breakdown point, Wadsworth, Belmont, 1983 ) Finite Sample Breakdown Point , we propose the Expected Finite Sample Breakdown Point to produce less configuration-dependent values while still preserving the finite sample aspect of the former definition. We apply this notion for joint estimation of scale and shape (with only scale-equivariance available), exemplified for generalized Pareto, generalized extreme value, Weibull, and Gamma distributions. In these settings, we are interested in highly-robust, easy-to-compute initial estimators; to this end we study Pickands-type and Location-Dispersion-type estimators and compute their respective breakdown points. Copyright Springer-Verlag 2012

Keywords: Global robustness; Finite sample breakdown point; Partial equivariance; Scale-shape parametric family; LD estimator (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s00184-011-0366-4

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