The Annals of Statistics

Upper Bounds on Asymptotic Variances of $M$-Estimators of Location

John R. Collins

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Abstract

If $X_1, \cdots, X_n$ is a random sample from $F(x - \theta)$, where $F$ is an unknown member of a specified class $\mathscr{F}$ of approximately normal symmetric distributions, then an $M$-estimator of the unknown location parameter $\theta$ is obtained by solving the equation $\sum^n_{i=1} \psi(X_i - \hat{\theta}_n) = 0$ for $\hat{\theta}_n$. A suitable measure of the robustness of the $M$-estimator is $\sup \{V(\psi, F): F \in \mathscr{F}\}$, where $V(\psi, F) = \int \psi^2 dF/(\int \psi' dF)^2$ is (under regularity conditions) the asymptotic variance of $n^{\frac{1}{2}}(\hat{\theta}_n - \theta)$. A necessary and sufficient condition for $F_0$ in $\mathscr{F}$ to maximize $V(\psi, F)$ is obtained, and the result is specialized to evaluate $\sup \{V(\psi, F):F \in \mathscr{F}\}$ when the model for $\mathscr{F}$ is the gross errors model or the Kolmogorov model.

Article information

Source
Ann. Statist., Volume 5, Number 4 (1977), 646-657.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176343889

Digital Object Identifier
doi:10.1214/aos/1176343889

Mathematical Reviews number (MathSciNet)
MR443197

Zentralblatt MATH identifier
0381.62033

JSTOR
links.jstor.org

Subjects
Primary: 62G05: Estimation
Secondary: 62G20: Asymptotic properties 62G35: Robustness

Keywords
$M$-estimator location parameter asymptotic variance robustness

Citation

Collins, John R. Upper Bounds on Asymptotic Variances of $M$-Estimators of Location. Ann. Statist. 5 (1977), no. 4, 646--657. doi:10.1214/aos/1176343889. https://projecteuclid.org/euclid.aos/1176343889


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