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Choosing a robustness tuning parameter

Warwick, J. and Jones, M.C. (2005). Choosing a robustness tuning parameter. Journal of Statistical Computation and Simulation, 75(7) pp. 581–588.

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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.
ISSN: 0094-9655
Keywords: asymptotic mean squared error; L2 distance estimation; minimum distance estimation; pilot estimator
Academic Unit/Department: Mathematics, Computing and Technology > Mathematics and Statistics
Item ID: 18207
Depositing User: Colin Smith
Date Deposited: 07 Sep 2009 11:27
Last Modified: 02 Dec 2010 20:37
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