The Annals of Statistics

Finite Sample Breakdown of $M$- and $P$-Estimators

Peter J. Huber

Full-text: Open access

Abstract

The finite sample breakdown properties of $M$-estimators, defined by $\sum\rho(x_i - T) = \min!$, and of the associated Pitman-type or $P$-estimators, defined by $T = \frac{\int \exp\{-\Sigma \rho(x_i - \theta)\}\theta d\theta}{\int \exp\{-\Sigma\rho(x_i - \theta)\} d\theta},$ are investigated. If $\rho$ is symmetric, and $\psi = \rho'$ is monotone and bounded, then the breakdown point of either estimator is $\varepsilon^\ast = 1/2$. If $\psi$ decreases to 0 for large $x$ ("redescending estimators"), the same result remains true if $\rho$ is unbounded. For bounded $\rho$, the $P$-estimator is undefined, and the breakdown point of the $M$-estimator typically is slightly less than $1/2$; it is calculated in explicit form.

Article information

Source
Ann. Statist., Volume 12, Number 1 (1984), 119-126.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176346396

Digital Object Identifier
doi:10.1214/aos/1176346396

Mathematical Reviews number (MathSciNet)
MR733503

Zentralblatt MATH identifier
0557.62034

JSTOR
links.jstor.org

Subjects
Primary: 62F35: Robustness and adaptive procedures

Keywords
Breakdown point robustness $M$-estimators $P$-estimators redescending estimators

Citation

Huber, Peter J. Finite Sample Breakdown of $M$- and $P$-Estimators. Ann. Statist. 12 (1984), no. 1, 119--126. doi:10.1214/aos/1176346396. https://projecteuclid.org/euclid.aos/1176346396


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