Warwick, J. and Jones, M.C.
|DOI (Digital Object Identifier) Link:||http://doi.org/10.1080/00949650412331299120|
|Google Scholar:||Look up in Google Scholar|
A novel method is proposed for choosing the tuning parameter associated with a family of robust estimators. It consists of minimising estimated mean squared error, an approach that requires pilot estimation of model parameters. The method is explored for the family of minimum distance estimators proposed by [Basu, A., Harris, I.R., Hjort, N.L. and Jones, M.C., 1998, Robust and efficient estimation by minimising a density power divergence. Biometrika, 85, 549-559.] Our preference in that context is for a version of the method using the L-2 distance estimator [Scott, D.W., 2001, Parametric statistical modeling by minimum integrated squared error. Technometrics, 43, 274-285.] as pilot estimator.
|Item Type:||Journal Article|
|Copyright Holders:||2005 Taylor & Francis Ltd.|
|Keywords:||asymptotic mean squared error; L2 distance estimation; minimum distance estimation; pilot estimator|
|Academic Unit/Department:||Mathematics, Computing and Technology > Mathematics and Statistics
Mathematics, Computing and Technology
|Depositing User:||Colin Smith|
|Date Deposited:||07 Sep 2009 11:27|
|Last Modified:||15 Jan 2016 11:48|
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