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March, 1989 Minimax Properties of $M-, R-$ and $L$-Estimators of Location in Levy Neighbourhoods
John Collins, Douglas Wiens
Ann. Statist. 17(1): 327-336 (March, 1989). DOI: 10.1214/aos/1176347020

Abstract

In the context of Huber's theory of robust estimation of a location parameter, the literature on minimax properties of $M$-, $R$- and $L$-estimators is surveyed. New results are obtained for the model in which the unknown error distribution is assumed to lie in a Levy neighbourhood of a symmetric distribution $G: \mathscr{P}_{\varepsilon,\delta}(G) = \{F\mid G(x - \delta) - \varepsilon \leq F(x) \leq G(x + \delta) + \varepsilon \text{for all} x\}$. Under reasonably general conditions on $G$, the distribution $F_0$ in $\mathscr{P}_{\varepsilon,\delta}(G)$ which minimizes Fisher information for location is found. Huber's minimax property for $M$-estimators is shown to hold for $R$-estimators but to fail for $L$-estimators in Levy neighbourhoods. The latter is proved by constructing a subneighbourhood of distributions $\mathscr{F}_0$, with $F_0 \in \mathscr{F}_0 \subset \mathscr{P}_{\varepsilon\delta}(G)$, such that the asymptotic variance of the $L$-estimator which is asymptotically efficient at $F_0$ is minimized over $\mathscr{F}_0$ at $F_0$.

Citation

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John Collins. Douglas Wiens. "Minimax Properties of $M-, R-$ and $L$-Estimators of Location in Levy Neighbourhoods." Ann. Statist. 17 (1) 327 - 336, March, 1989. https://doi.org/10.1214/aos/1176347020

Information

Published: March, 1989
First available in Project Euclid: 12 April 2007

zbMATH: 0672.62048
MathSciNet: MR981454
Digital Object Identifier: 10.1214/aos/1176347020

Subjects:
Primary: 62F35
Secondary: 62F12

Rights: Copyright © 1989 Institute of Mathematical Statistics

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Vol.17 • No. 1 • March, 1989
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