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Robust estimation of scale of an exponential distribution
Author(s) -
Gather U.,
Schultze V.
Publication year - 1999
Publication title -
statistica neerlandica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.52
H-Index - 39
eISSN - 1467-9574
pISSN - 0039-0402
DOI - 10.1111/1467-9574.00115
Subject(s) - estimator , mathematics , statistics , trimmed estimator , m estimator , exponential function , scale (ratio) , gaussian , exponential distribution , minimum variance unbiased estimator , consistent estimator , mathematical analysis , physics , quantum mechanics
We consider the standardized median as an estimator of scale for exponential samples which is most B‐robust in the sense of H ampel et al. (1986). This estimator is compared with two other estimators which were proposed to R ousseeuw and C roux (1993) but for a Gaussian model. All three estimators have the same breakdown point, but their bias curves are different. It is shown that under a gross error model the explosion bias curve of the most B‐robust estimator performs better than the bias curves of the other estimators. But this estimator is worse than the two estimators proposed by R ousseeuw and C roux (1993) if the implosion bias curve is considered.