A Linearized Version of the Hodges-Lehmann Estimator

Andre Antille

doi:10.1214/aos/1176342883

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Home > Journals > Ann. Statist. > Volume 2 > Issue 6 > Article

November, 1974 A Linearized Version of the Hodges-Lehmann Estimator

Andre Antille

Ann. Statist. 2(6): 1308-1313 (November, 1974). DOI: 10.1214/aos/1176342883

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Abstract

In the estimation of a location parameter the Hodges-Lehmann estimator is known to have some "robust" properties, but it is very "expensive" for large sample sizes. By using the linearity of a special rank statistic we can find a linearized version which requires only $O(n \log n)$ operations.

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Andre Antille. "A Linearized Version of the Hodges-Lehmann Estimator." Ann. Statist. 2 (6) 1308 - 1313, November, 1974. https://doi.org/10.1214/aos/1176342883