Small Sample Behavior of Some Robust Linear Estimators of Location
若干稳健线性位置估计量的小样本表现
Originally, Tukey justified the use of the trimmed mean as a robust estimator because of its high efficiency in large samples from contaminated normal data. The means, variances and covariances of the order statistics in small samples (of size ≤ 20) from a standard normal distribution contaminated by various fractions (.01, .05 and .10) of a normal distribution with mean 0 and scale parameter 3 are derived. The small sample behavior of various robust linear estimators is…