Stable estimation of location parameter -nonasymptotic approach |
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Authors: | Ryszard Zielinski |
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Affiliation: | Institute of Mathematics , Polish Academy of Sciences , Warsaw, PL, 00-950, POLAND |
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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 |
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Keywords: | Location parameter stable estimation robust estimation median-unbiased estimator equivariant estimators small sample estimators |
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