Efficiency rate and local deficiency of Huber's location estimators and of the a-estimators

• Autores: Asunción Rubio de Juan, Jan Ámos Víšek
• Localización: Trabajos de estadística, ISSN 0213-8190, Vol. 6, Nº. 2, 1991, págs. 67-85
• Idioma: inglés
• Títulos paralelos:
  • Tasa de eficiencia y deficiencia local de los estimadores de localización de Huber y de los a-estimadores
• Enlaces
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• Resumen

  • The paper studies the problem of selecting an estimator with (approximately) minimal asymptotic variance. For every fixed contamination level there is usually just one such estimator in the considered family. Using the first and the second derivative of the asymptotic variance with respect to the parameter which parametrizes the family of estimators the paper gives two examples of how to select the estimator and gives an approximation to a loss which we suffer when we use the estimator with approximately minimal asymptotic variance instead of the estimator with the precisely minimal