A NOTE ON ROBUST ESTIMATION OF LOCATION

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.