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Stable estimation of location parameter -nonasymptotic approach
Authors:Ryszard Zielinski
Affiliation:Institute of Mathematics , Polish Academy of Sciences , Warsaw, PL, 00-950, POLAND
Abstract:Let X1:, X2:, …, Xn be iidrv's with cdf F?, F?(x)=F (x-θ), R. Let T be an equivariant median-unbiased estimator of θ. Let πε(F)={G = (1 -ε) F+εH, H any cdf} and let M(G, T) be a median of T if X1 has cdf G. The oscillation of the bias of T, defined as

Bε(T)=sup (M(G1 T) :G1,G2:∈πσ:(F)} ,is considered and the estimator with the smallest B$epsi;(T) is explicitly constructed
Keywords:Location parameter  stable estimation  robust estimation  median-unbiased estimator  equivariant estimators  small sample estimators
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