Robust m-estimators |
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| Authors: | Franco Peracchi |
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| Institution: |
a Department of Economics, New York University, New York |
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| Abstract: | This paper provides a summary of the influence function approach to robust estimation of parametric models. Hampel's optimality results for M-estimators with a bounded influence function is generalized to allow for arbitrary choices of the asymptotic efficiency criterion and the norm of the influence function. Further extensions to other cases of practical interest are also considered. |
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| Keywords: | M-estimators robust estimation influence function |
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