The choice of inicial Estimate for Computing MM-Estimates
Date
2008-04
Authors
Svarc, Marcela
relationships.isContributorOfPublication
Journal Title
Journal ISSN
Volume Title
Publisher
Universidad de San Andrés. Departamento de Matemáticas y Ciencias
Abstract
We show, using a Monte Carlo study, that MM-estimates with projec- tion estimates as starting point of an iterative weighted least squares algorithm, behave more robustly than MM-estimates starting at an S-estimate and similar Gaussian efficiency. Moreover the former have a robustness behavior close to the P-estimates with an additional advantage: they are asymptotically normal making statistical inference possible.
Description
Fil: Svarc, Marcela. Universidad de San Andrés. Departamento de Matemática y Ciencias; Argentina.
Keywords
Robust statistics , Robust statistics