Finite-sample behavior of robust estimators
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F11%3A10099389" target="_blank" >RIV/00216208:11320/11:10099389 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Finite-sample behavior of robust estimators
Original language description
The asymptotic (normal) distribution of an estimator approximates well the central part, but not the tails of its true distribution. Robust estimators, advertised as resistant to heavy-tailed distributions, can be themselves heavy-tailed. Though asymptotically admissible, many are not finite-sample admissible for any distribution. Hence, before taking a recourse to the asymptotics, we should first analyze finite-sample properties of an estimator, whenever possible. We illustrate some of the most distinctive differences between the asymptotic and finite-sample properties of robust estimators.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
WSEAS Transactions on Circuits and Systems
ISBN
978-960-474-282-0
ISSN
1109-2734
e-ISSN
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Number of pages
6
Pages from-to
15-20
Publisher name
WSEAS PRESS
Place of publication
Venice, Italy
Event location
Benátky
Event date
Mar 8, 2011
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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