Robust extimation of scale of an exponential distribution

Ursula Gather and Verena Schultze

No 1997,08, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: We consider a new estimator of scale for exponential samples which is most B-robust in the sense of Hampel et al. (1986). This estimator is compared with two other estimators which were proposed by Rousseeuw and Croux (1993) but for a Gaussian model. All three estimators have the same breakdown point, but their explosion bias curves are different. It is shown that under a gross error model the explosion bias curve of the new estimator performs better than the bias curves of the other estimators.

Keywords: Influence function; breakdown point; explosion bias curve (search for similar items in EconPapers)
Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb475:199708

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