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.

DOI: https://doi.org/10.1080/00949650412331299120

Abstract

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.

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About

• Item ORO ID
• 18207
• Item Type
• Journal Item
• ISSN
• 0094-9655
• Keywords
• asymptotic mean squared error; L2 distance estimation; minimum distance estimation; pilot estimator
• Academic Unit or School
• Faculty of Science, Technology, Engineering and Mathematics (STEM) > Mathematics and Statistics
  Faculty of Science, Technology, Engineering and Mathematics (STEM)
• Copyright Holders
• © 2005 Taylor & Francis Ltd.
• Depositing User
• Colin Smith