Efficiency comparison of M-estimates for scale at t-distributions

被引:3
|
作者
Bachmaier, M [1 ]
机构
[1] Tech Univ Munich, Datenverarbeitungsstelle Weihenstephan, D-85350 Freising, Germany
关键词
scale estimate; standard deviation; mean deviation; MAD; median absolute deviation; M-estimate; robust; redescending; asymptotic efficiency; Fisher's information; asymptotic variance; arch; t-distribution;
D O I
10.1007/BF02925676
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
Using Fisher's information for t-distributions, the absolute asymptotic efficiency of some M-estimates for scale with known location parameter is calculated and graphically illustrated. The compared estimators are the standard deviation S-*, the mean absolute deviation, called mean deviation D-*, the median absolute deviation, called MAD(*), and some M-estimates for scale, one, which is very robust, and another one with high asymptotic efficiency for t-distributions close to the normal. The last one is considered with monotone (in the positive field) and with very late redescending chi-function too. Also the <(sigma)over cap>(*)-arch, an alternative and generalized excess measure defined as the double relative asymptotic variance of the underlying scale estimator <(sigma)over cap>(*) in the previous paper, is calcultated for t-distributions and graphically illustrated, because there is the relation that the higher the asymptotic efficiency of <(sigma)over cap>(*) is, the lower is the corresponding <(sigma)over cap>(*)-arch.
引用
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页码:53 / 64
页数:12
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