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Scientific article
English

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

Published inJournal of the American Statistical Association, vol. 76, no. 375, p. 643-648
Publication date1981
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 estimation
  • M-estimators of location
  • Redescending M-estimators
Affiliation Not a UNIGE publication
Citation (ISO format)
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. doi: 10.1080/01621459.1981.10477698
Identifiers
ISSN of the journal0162-1459
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