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Variance etable r-estimators

Yen, James H.
Published in Statistics. 1986, vol. 17, no. 2, p. 189-199
Abstract By means of the concept of change-of-variance function we investigate the stability properties of the asymptotic variance of R-estimators. This allows us to construct the optimal V-robust R-estimator that minimizes the asymptotic variance at the models under the side condition of a bounded change-of-variance function. Finally, we discuss the connection between this function and an influence function for two-sample rank tests introduced by EPLETT (1980)
Keywords R-estimatorsinfluence functionchange-of-variance functionrobust estimationasymptotic variance
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RONCHETTI, Elvezio, YEN, James H. Variance etable r-estimators. In: Statistics, 1986, vol. 17, n° 2, p. 189-199.

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Deposited on : 2012-10-06

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