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 language | English |
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Pages (from-to) | 238 - 244 |
Number of pages | 7 |
Journal | Biometrika |
Volume | 99 |
Issue number | 1 |
DOIs | |
Publication status | Published - 2012 |
Externally published | Yes |