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位置参数 M 估计量的小样本渐近分布AI 解读

Asymptotic formulae for the distribution of M-estimators, i.e. maximum likelihood type estimators, of location, including the arithmetic mean, are derived which numerical studies show to give relative errors for densities and tail areas of the order of magnitude of 1% down to sample sizes 3 and 4 even in the extreme tails. The paper is the continuation of earlier work by the second author and is also closely related to Daniels's work on the saddlepoint approximation. The…

位置M估计量的小样本渐近分布AI 解读

Asymptotic formulae for the distribution of M-estimators, i.e. maximum likelihood type estimators, of location, including the arithmetic mean, are derived which numerical studies show to give relative errors for densities and tail areas of the order of magnitude of 1% down to sample sizes 3 and 4 even in the extreme tails. The paper is the continuation of earlier work by the second author and is also closely related to Daniels's work on the saddlepoint approximation. The…

方差变化曲线与最优再下降型 M 估计量AI 解读

We define the change-of-variance curve (CVC) of location M-estimators in order to investigate the infinitesimal stability of the asymptotic variance. We also construct the so-called hyperbolic tangent estimators, proving their existence and performing certain numerical computations of their defining constants. Their introduction is motivated by a theorem that shows they are the optimally robust redescending M-estimators in the sense of the CVC.

摘要暂缺

影响曲线及其在稳健估计中的作用AI 解读

This paper treats essentially the first derivative of an estimator viewed as functional and the ways in which it can be used to study local robustness properties. A theory of robust estimation “near” strict parametric models is briefly sketched and applied to some classical situations. Relations between von Mises functionals, the jackknife and U-statistics are indicated. A number of classical and new estimators are discussed, including trimmed and Winsorized means,…