Small sample behavior of robust stochastic approximation and iterated weighted least squares estimates for location

DOI10.1080/03610918408812357zbMath0573.62032OpenAlexW2004110085MaRDI QIDQ3690865

Daniel M. Goodfellow, R. Douglas Martin

Publication date: 1984

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918408812357

zbMATH Keywords

scale estimationefficienciesstudentizingrobust confidence intervalsadaptive stochastic approximationweighted least squares estimatesasymptotic variance formulaexpected confidence interval lengthsMonte Carlo swindle techniquesone-step M-estimatesRobbins-Monro stochastic approximation algorithmrobust estimates of locationrobust interval estimationrobust point estimationSA-estimates

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Monte Carlo methods (65C05)

Cites Work

• Unnamed Item
• On the Choice of Starting Point in Stochastic Approximation
• The Influence Curve and Its Role in Robust Estimation
• Confidence Interval Robustness with Long-Tailed Symmetric Distributions
• Robust bayesian estimation for the linear model and robustifying the Kalman filter
• Robust estimation via stochastic approximation
• Robust studentization of location estimates
• Robust Estimation of a Location Parameter
• Robust estimation of signal amplitude
• A Robust Confidence Interval for Location for Symmetric, Long-Tailed Distributions

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