On robust estimation via pseudo-additive information

Davide Ferrari, Davide La Vecchia

Research output: Contribution to journalArticleResearchpeer-review

12 Citations (Scopus)

Abstract

We consider a robust parameter estimator minimizing an empirical approximation to the q-entropy and show its relationship to minimization of power divergences through a simple parameter transformation. The estimator balances robustness and efficiency through a tuning constant q and avoids kernel density smoothing. We derive an upper bound to the estimator mean squared error under a contaminated reference model and use it as a min-max criterion for selecting q.
Original languageEnglish
Pages (from-to)238 - 244
Number of pages7
JournalBiometrika
Volume99
Issue number1
DOIs
Publication statusPublished - 2012
Externally publishedYes

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