The cost of not knowing the radius

DOI10.1007/s10260-007-0047-7zbMath1367.62083OpenAlexW2170714736MaRDI QIDQ1019491

Helmut Rieder, Peter Ruckdeschel, Matthias Kohl

Publication date: 2 June 2009

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-007-0047-7

zbMATH Keywords

total variationrelative risklocationcontaminationasymptotically linear estimatorsinfluence curvesinefficiencyscaleinfinitesimal asymmetric neighborhoodsleast favorable radiusmaximum asymptotic variance and mean square errorradius-minimax robust estimatorsymmetric location and contamination

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (7)

Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM ⋮ Robust Kalman tracking and smoothing with propagating and non-propagating outliers ⋮ Robust worst-case optimal investment ⋮ ROptEst ⋮ Asymptotic linear expansion of regularized M-estimators ⋮ Optimally robust estimators in generalized Pareto models ⋮ Infinitesimally robust estimation in general smoothly parametrized models

Uses Software

• R
• RobASt

Cites Work

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• Contributions to a general asymptotic statistical theory. With the assistance of W. Wefelmeyer
• Robust regression based on infinitesimal neighbourhoods
• On adaptive estimation
• Robust asymptotic statistics
• On adaptive estimation in stationary ARMA processes
• Minimax Aspects of Bounded-Influence Regression
• Efficient robust estimates in parametric models
• Robust estimation via minimum distance methods
• Optimal influence curves for general loss functions
• Robust Estimation of a Location Parameter
• Robust Statistics

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