Loading...
research article
Compromise Pitman estimators
In this paper, we investigate the construction of compromise estimators of location and scale, by averaging over several models selected among a specified large set of possible models. The weight given to each distribution is based on the profile likelihood, which leads to a notion of distance between distributions as we study the asymptotic behaviour of such estimators. The selection of the models is made in a minimax way, in order to choose distributions that are close to any possible distribution. We also present simulation results of such compromise estimators based on contaminated Gaussian and Student's t distributions. (C) 2011 Elsevier B.V. All rights reserved.
Type
research article
Web of Science ID
WOS:000291067400014
Authors
Publication date
2011
Publisher
Published in
Volume
141
Start page
2656
End page
2669
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
December 16, 2011
Use this identifier to reference this record