On robust estimation via pseudo-additive information

La Vecchia, Davide; Ferrari, Davide

doi:10.1093/biomet/asr061

Scientific article

English

On robust estimation via pseudo-additive information

Contributors

La Vecchia, Davide

; Ferrari, Davide

Published in

Biometrika, vol. 99, no. 1, p. 238-244

Publication date

2012

Abstract

We consider a robust parameter estimator minimizing an empirical approximation to the q-entropy and show its relationship to minimization of power divergences through a simple parameter transformation. The estimator balances robustness and efficiency through a tuning constant q and avoids kernel density smoothing. We derive an upper bound to the estimator mean squared error under a contaminated reference model and use it as a min-max criterion for selecting q.

Keywords

Change-of-variance
Minimum divergence estimation
Power divergence
Q-entropy
Robustness

UNIGE affiliation entities

Faculté d'économie et de management / Research Center for Statistics

Citation (ISO format)

LA VECCHIA, Davide, FERRARI, Davide. On robust estimation via pseudo-additive information. In: Biometrika, 2012, vol. 99, n° 1, p. 238–244. doi: 10.1093/biomet/asr061

Article (Published version)

Article (Accepted version)

Identifiers

PID : unige:75150
DOI : 10.1093/biomet/asr061

Additional URL for this publication

http://biomet.oxfordjournals.org/content/99/1/238.full.pdf

Journal ISSN

0006-3444

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Creation

07/09/2015 22:02:00

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07/09/2015 22:02:00

Update

15/03/2023 06:12:56

Status update

15/03/2023 06:12:56

Last indexation

31/10/2024 01:14:21

On robust estimation via pseudo-additive information

Contributors

Published in

Publication date

Abstract

Keywords

UNIGE affiliation entities

Citation (ISO format)

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Additional URL for this publication

Journal ISSN

Technical informations

Creation

First validation

Update

Status update

Last indexation