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Choosing a robustness tuning parameter. (English) Zbl 1115.62317

Summary: 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 A. Basu et al. [Biometrika 85, No. 3, 549–559 (1998; Zbl 0926.62021)] Our preference in that context is for a version of the method using the \(L_{2}\) distance estimator [D. W. Scott, Parametric statistical modeling by minimum integrated squared error. Technometrics 43, 274–285 (2001)] as pilot estimator.

MSC:

62F35 Robustness and adaptive procedures (parametric inference)
62F10 Point estimation

Citations:

Zbl 0926.62021
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References:

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