Induced cores and their use in robust parametric estimation

被引:21
作者
Fabián, Z [1 ]
机构
[1] Acad Sci Czech Republ, Inst Comp Sci, Prague 18200 8, Czech Republic
关键词
core function; generalized moment method; Huber moment estimates;
D O I
10.1081/STA-100002096
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
The recently proposed induced cores of continuous probability distributions are briefly introduced and used for a generalization of the classical moment estimation method. The suggested core moment estimators and, if necessary, the Huber moment estimators, are "tailored" to the assumed distributions similarly as the maximum likelihood estimators, with which in some cases coincide. However. the generalized moment estimates are robust. They are in multidimensional cases unexpectedly simple and their asymptotic relative efficiences seem to be reasonably near to one.
引用
收藏
页码:537 / 555
页数:19
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