Open Access
May, 1981 Maximizing the Variance of $M$-Estimators Using the Generalized Method of Moment Spaces
John R. Collins, Stephen L. Portnoy
Ann. Statist. 9(3): 567-577 (May, 1981). DOI: 10.1214/aos/1176345460

Abstract

The problem considered is that of optimizing a function of a finite number of linear functionals over an infinite dimensional convex set $S$. It is shown that under some reasonably general conditions the method of moment spaces can be used to reduce the problem to one of optimizing over a simple finite dimensional set (generally a set of convex combinations of extreme points of $S$). The results are applied to finding the maximum asymptotic variance of M-estimators over classes of distributions arising in the theory of robust estimation.

Citation

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John R. Collins. Stephen L. Portnoy. "Maximizing the Variance of $M$-Estimators Using the Generalized Method of Moment Spaces." Ann. Statist. 9 (3) 567 - 577, May, 1981. https://doi.org/10.1214/aos/1176345460

Information

Published: May, 1981
First available in Project Euclid: 12 April 2007

zbMATH: 0479.62026
MathSciNet: MR615432
Digital Object Identifier: 10.1214/aos/1176345460

Subjects:
Primary: 62G35
Secondary: 62G05

Keywords: asymptotic variance , Method of moment spaces , robust estimation

Rights: Copyright © 1981 Institute of Mathematical Statistics

Vol.9 • No. 3 • May, 1981
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