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Kozek, Andrzej S.

On \(M\)-estimators and normal quantiles. (English) Zbl 1041.62018

Ann. Stat. 31, No. 4, 1170-1185 (2003).
Summary: This paper explores a class of robust estimators of normal quantiles filling the gap between maximum likelihood estimators and empirical quantiles. Our estimators are linear combinations of M-estimators. Their asymptotic variances can be arbitrarily close to variances of the maximum likelihood estimators. Compared with empirical quantiles, the new estimators offer considerable reduction of variance at near normal probability distributions.

Cited in 1 Review
Cited in 2 Documents

MSC:

62F12 Asymptotic properties of parametric estimators
62F35 Robustness and adaptive procedures (parametric inference)

Keywords:

a-quantiles; asymptotics; M-estimator; M-functional; normal quantiles; robustness
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Full Text: DOI Euclid

References:

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[34] Sy DNEY, NSW 2109 AUSTRALIA E-MAIL: akozek@efs.mq.edu.au
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