Efficiency and robustness control via distorted maximum likelihood estimation
Efficiency rate and local deficiency of Huber's location estimators and of the α-estimators.
The paper studies the problem of selecting an estimator with (approximately) minimal asymptotic variance. For every fixed contamination level there is usually just one such estimator in the considered family. Using the first and the second derivative of the asymptotic variance with respect to the parameter which parametrizes the family of estimators the paper gives two examples of how to select the estimator and gives an approximation to a loss which we suffer when we use the estimator with approximately...
Efficiency rate and local deficiency of the most powerful tests in the model of contaminacy with general neighbourhoods
Efficient robust estimation of time-series regression models
The paper studies a new class of robust regression estimators based on the two-step least weighted squares (2S-LWS) estimator which employs data-adaptive weights determined from the empirical distribution or quantile functions of regression residuals obtained from an initial robust fit. Just like many existing two-step robust methods, the proposed 2S-LWS estimator preserves robust properties of the initial robust estimate. However, contrary to the existing methods, the first-order asymptotic behavior...
Estimating the contamination level of data in the framework of linear regression analysis.
An estimator of the contamination level of data is proposed in the framework of linear models and its asymptotic behavior is investigated. A numerical study illustrates its finite sample performance under an alternative.
Estimation of contamination level in model of contaminacy with general neighbourhoods
Estimators, escort probabilities, and -exponential families in statistical physics.