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The Change-of-Variance Curve and Optimal Redescending M-Estimators

Hampel, Frank R.
Rousseeuw, Peter J.
Published in Journal of the American Statistical Association. 1981, vol. 76, no. 375, p. 643-648
Abstract We define the change-of-variance curve (CVC) of location M-estimators in order to investigate the infinitesimal stability of the asymptotic variance. We also construct the so-called hyperbolic tangent estimators, proving their existence and performing certain numerical computations of their defining constants. Their introduction is motivated by a theorem that shows they are the optimally robust redescending M-estimators in the sense of the CVC.
Keywords Robust estimationM-estimators of locationRedescending M-estimators
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HAMPEL, Frank R., ROUSSEEUW, Peter J., RONCHETTI, Elvezio. The Change-of-Variance Curve and Optimal Redescending M-Estimators. In: Journal of the American Statistical Association, 1981, vol. 76, n° 375, p. 643-648.

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Deposited on : 2012-10-06

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