Another look at Huber's estimator: a new minimax estimator in regression with stochastically bounded noise

DOI10.1016/j.jspi.2008.03.040zbMath1149.62013OpenAlexW2135326727MaRDI QIDQ958808

Xuelei Sherry Ni, Xiaoming Huo

Publication date: 8 December 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.2008.03.040

zbMATH Keywords

regressionasymptotic minimax estimatorHuber's estimator

Mathematics Subject Classification ID

Related Items (2)

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*

Uses Software

• SNOPT
• PDCO

Cites Work

• Duality results and proximal solutions of the Huber \(M\)-estimator problem
• Necessary and sufficient conditions for consistency of \(M\)-estimates in regression models with general errors
• Affine-scaling for linear programs with free variables
• Atomic Decomposition by Basis Pursuit
• Leverage and Breakdown in L 1 Regression
• The Linear l₁ Estimator and the Huber M-Estimator
• Robust Statistics
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