Redescending \(M\)-estimators

DOI10.1016/j.jspi.2007.11.008zbMath1213.62036OpenAlexW2028311816MaRDI QIDQ935423

Alexander Shurygin, Stephan Morgenthaler, Georgy L. Shevlyakov

Publication date: 6 August 2008

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2007.11.008

zbMATH Keywords

\(M\)-estimatorschange-of-variance functionminimax robustnessredescending \(M\)-estimators

Mathematics Subject Classification ID

Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (13)

A high-dimensional M-estimator framework for bi-level variable selection ⋮ Asymptotically stable detection of a weak signal ⋮ Least informative distributions in maximum \(q\)-log-likelihood estimation ⋮ On the robustness properties for maximum likelihood estimators of parameters in exponential power and generalized T distributions* ⋮ Asymptotically Stable Tests with Application to Robust Detection ⋮ Robust score and portmanteau tests of volatility spillover ⋮ Explaining the seismic moment of large earthquakes by heavy and extremely heavy tailed models ⋮ Robust inversion, dimensionality reduction, and randomized sampling ⋮ Robust estimation and inference for heavy tailed GARCH ⋮ An outer-inner linearization method for non-convex and nondifferentiable composite regularization problems ⋮ A comparative study of robust and stable estimates of multivariate location ⋮ High-dimensional robust approximated \(M\)-estimators for mean regression with asymmetric data ⋮ Infinitesimally robust estimation in general smoothly parametrized models

Cites Work

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• Dimensions of multivariate statistics
• Variational optimization of the estimator stability
• The Change-of-Variance Curve and Optimal Redescending M-Estimators
• The Influence Curve and Its Role in Robust Estimation
• Robust regression using iteratively reweighted least-squares
• Robust Estimation of a Location Parameter
• Robust Estimates of Location: Survey and Advances
• An Optimum Property of Regular Maximum Likelihood Estimation
• Robust Statistics
• Estimator stability in geological applications

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