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Monte Carlo studies of some adaptive robust procedures for location
Author(s) -
Forst Frederick R.,
Ali Mir Masoom
Publication year - 1981
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.2307/3314617
Subject(s) - monte carlo method , estimator , robust statistics , nonlinear system , computer science , mathematics , statistics , mathematical optimization , algorithm , physics , quantum mechanics
One linear and two nonlinear adaptive robust procedures have been developed in which preliminary statistics, based on tail lengths, attempt to identify distributions from which the samples arise so that a suitable robust estimator based on trimmed means can be used to estimate the location parameter. The efficiencies of the estimators based on the three proposed adaptive robust procedures have been obtained using Monte Carlo methods involving eight distributions and these efficiencies are compared with the efficiencies of nineteen other robust estimators.