A NOTE ON ROBUST ESTIMATION OF LOCATION

被引：0
|
作者：
CHAUDHURI, P [1 ]
SENGUPTA, D [1 ]
机构：
[1] INDIAN STAT INST,DIV THEORET STAT,CALCUTTA 700035,W BENGAL,INDIA
来源：
STATISTICS & PROBABILITY LETTERS | 1993年 / 18卷 / 03期
关键词：
MODIFIED M-ESTIMATION; SCORE FUNCTION; MEDIAN UNBIASEDNESS; MULTIVARIATE L(1)-MEDIAN; MODIFIED MAXIMUM LIKELIHOOD;
D O I：
10.1016/0167-7152(93)90223-6
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
A modified version of the usual M-estimation problem is proposed, and sample median is shown to be a solution of this problem for a wide range of choices of the score function. It exposes certain universality in the robustness of sample median in the univariate case, and this property continues to hold even in multivariate set-ups if we consider the multivariate L1-median. Some interesting facts related to this 'modified M-estimation' are discussed, and the consequences of a similar modification of the traditional maximum likelihood approach are explored.
引用
收藏
页码：241 / 244
页数：4
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