The Ubiquitous Role of f'/f in Efficiency Robust Estimation of Location.
Technical summary rept.,
WISCONSIN UNIV-MADISON MATHEMATICS RESEARCH CENTER
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This paper is primarily expository in nature and focuses on the all pervasive importance of ff in efficient estimation of location, with primary emphasis on the role of ff in robust estimation. Connections between M estimators maximum likelihood-like, R rank estimators and L estimators linear combinations of order statistics are discussed and an alternative heuristic explanation of ff is given showing why it is an intuitively reasonable quantity on which to base estimation. The asymptotic relative efficiency of each class of estimators is shown to be the square of a correlation coefficient related to ff and reasons are given as to why R estimators might often prove to have superior robustness properties relative to L and M estimators. Author
- Statistics and Probability