Partially-adaptive robust estimators of location via exponential embedding |
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Authors: | Wei-Yin Loh |
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Affiliation: | University of Wisconsin - Madison |
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Abstract: | A general method is presented for constructing a location estimator which is asymptotically efficient at any two different location-scale families of symmetric distributions as well as at an appropriately defined class of distributions lying in between. The method works by embedding the two families in a comprehensive parametric model and identifying the estimator with the MLE. The case when the families are Normal and Double exponential is examined in detail. |
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Keywords: | M-estimator maximum likelihood asymptotic variance sensitivity curve |
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