Compromise Pitman estimators |
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Authors: | N Fournier |
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Institution: | EPFL SB MATHAA STAP, Station 8 (Bâtiment MA), 1015 Lausanne, Switzerland |
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Abstract: | In this paper, we investigate the construction of compromise estimators of location and scale, by averaging over several models selected among a specified large set of possible models. The weight given to each distribution is based on the profile likelihood, which leads to a notion of distance between distributions as we study the asymptotic behaviour of such estimators. The selection of the models is made in a minimax way, in order to choose distributions that are close to any possible distribution. We also present simulation results of such compromise estimators based on contaminated Gaussian and Student's t distributions. |
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Keywords: | Pitman estimators Model averaging Distance between distributions |
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