×

Induced cores and their use in robust parametric estimation. (English) Zbl 1009.62534

Summary: The recently proposed induced cores of continuous probability distributions are briefly introduced and used for a generalization of the classical moment estimation method. The suggested core moment estimators and, if necessary, the Huber moment estimators, are “tailored” to the assumed distributions similarly as the maximum likelihood estimators, with which in some cases coincide. However, the generalized moment estimates are robust. They are in multidimensional cases unexpectedly simple and their asymptotic relative efficiences seem to be reasonably near to one.

MSC:

62F35 Robustness and adaptive procedures (parametric inference)
PDF BibTeX XML Cite
Full Text: DOI

References:

[1] Fabi’an, Z. 1994.Generalized score function and its use. Trans. 12th Prague Conf. on Information Theory67–72. Academia, Prague
[2] DOI: 10.1109/18.568724 · Zbl 0880.94004
[3] DOI: 10.2307/2332539
[4] Klugman S. A., Loss models. From data to decisions · Zbl 1141.62343
[5] Serfling R. J., Approximation theorems of mathematical statistics · Zbl 1001.62005
[6] Barnett V., Comparative statistical inference · Zbl 0322.62001
[7] Hampel F. R., Robust Statistic. The Approach Based on Influence Functions
[8] DOI: 10.1214/aoms/1177703732 · Zbl 0136.39805
[9] Jurevĉkov’a J., Robust statistical procedures: asymptotics and interrelations
[10] Andrews D. F., Robust estimates of location
[11] Vajda I., Kybernetika 22 pp 47– (1986)
[12] Johnson N. L., Continuous univariate distributions 2 · Zbl 0811.62001
[13] Marazzi A., Robust Statistics, Data Analysis and Computer Intensive Methods 109 pp 277– (1996)
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.