Variational optimization of the estimator stability
A variational measure is introduced to evaluate the instability of the estimator of the distribution density parameter with respect to small density variations. The estimation quality is characterized by two indexes, effectiveness and stability. A compromise estimator with the least loss in effectiveness and stability is computed. Maximal stable, compromise, and radical estimators of the parameters of an exponential, double exponential (Laplace), and normal distribution are given as examples.
scientific article; zbMATH DE number 922191