Trimmed likelihood estimation of location and scale of the normal distribution. (English) Zbl 0798.62043

Bednarski, T.; Clarke, B. R.

Aust. J. Stat. 35, No. 2, 141-153 (1993).

The authors consider trimmed likelihood estimators of location and scale of a normal distribution such that the estimators are robust. The approach employs empirical processes and differentiability of estimating functionals and is different from P. J. Huber [Am. Math. Stat. 35, 73-101 (1964; Zbl 0136.398); ibid. 43, 1041-1067 (1972; Zbl 0254.62023)] and F. R. Hampel’s [J. Am. Stat. Assoc. 69, 383-393 (1974; Zbl 0305.62031)] approaches. The estimator for location does not depend on the scale estimate and is robust against asymmetric contamination. Simulation results support their theory.

Reviewer: Fang Kai-tai (Hongkong)

MSC:

62F35	Robustness and adaptive procedures (parametric inference)
62F10	Point estimation
62H12	Estimation in multivariate analysis

Keywords:

asymptotic normality; Fisher consistency; robust estimators; trimmed likelihood estimators; location; scale; normal distribution; empirical processes; differentiability of estimating functionals; asymmetric contamination

Citations:

Zbl 0136.398; Zbl 0254.62023; Zbl 0305.62031