Comparison of asymptotic variances for several estimators of location. (English) Zbl 0678.62035

Vajda, I.

Probl. Control Inf. Theory 18, No. 2, 79-89 (1989).

Summary: This is a comparative study presenting asymptotic variances of several consistent asymptotically normal estimators of location for sources of independent data defined by mixtures of standard normal and some other, normal or non-normal, distributions. An estimator introduced by the author [Information theory, statistical decision functions, random processes, Trans. 9th Prague Conf., Prague 1982, Vol. A, 103-112 (1983; Zbl 0552.62016); Recent results in estimation theory and related topics, Suppl. Issues Stat. Decis. 1, 239-261 (1984; Zbl 0558.62004)] is compared with a group of estimators considered by P. J. Huber [Ann. Math. Stat. 43, 1041-1067 (1972; Zbl 0254.62023)] and with a group of estimators proposed by P. Kovanic [Probl. Control Inf. Theory 13, 303-319 (1984; Zbl 0583.94008)]. Variances of all estimators are compared with the reversed value of Fisher information. The results are presented in a graphical form.

MSC:

62F12	Asymptotic properties of parametric estimators
62F10	Point estimation

Keywords:

comparative study; asymptotic variances; consistent asymptotically normal estimators of location; mixtures; reversed value of Fisher information

Citations:

Zbl 0552.62016; Zbl 0558.62004; Zbl 0254.62023; Zbl 0583.94008