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Huber-Sense Robust M-Estimation of a Scale Parameter, with Applications to the Exponential Distribution
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Titel: |
Huber-Sense Robust M-Estimation of a Scale Parameter, with Applications to the Exponential Distribution |
In: | Journal of the American Statistical Association, 74, 1979, 365, S. 147-152 |
veröffentlicht: |
American Statistical Association
|
Umfang: | 147-152 |
ISSN: |
0162-1459 |
Zusammenfassung: | <p>Huber's (1964) classical theory of robust M-estimation of a location parameter is also applicable to nonnegative data X having scale parameter θ, since Y = log X has location parameter log θ. In the present article, Huber's location parameter results are reformulated in the scale parameter context and then applied to the problem of robust estimation of the parameter of the exponential distribution. The robust M-estimator is obtained here as the solution of a minimax problem, and it turns out to be a type of Winsorized mean.</p> |
Format: | E-Article |
Quelle: |
sid-55-col-jstoras1 sid-55-col-jstormaths JSTOR Arts & Sciences I Archive JSTOR Mathematics & Statistics |
Sprache: | Englisch |