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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.
  • 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. (en)
Title
  • Finite-sample behavior of robust estimators
  • Finite-sample behavior of robust estimators (en)
skos:prefLabel
  • Finite-sample behavior of robust estimators
  • Finite-sample behavior of robust estimators (en)
skos:notation
  • RIV/00216208:11320/11:10099389!RIV12-GA0-11320___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA201/09/0133), P(LC06024)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 199796
http://linked.open...ai/riv/idVysledku
  • RIV/00216208:11320/11:10099389
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • estimators; robust; behavior; Finite-sample (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [26C7C77A8E0B]
http://linked.open...v/mistoKonaniAkce
  • Benátky
http://linked.open...i/riv/mistoVydani
  • Venice, Italy
http://linked.open...i/riv/nazevZdroje
  • WSEAS Transactions on Circuits and Systems
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Jurečková, Jana
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
issn
  • 1109-2734
number of pages
http://purl.org/ne...btex#hasPublisher
  • WSEAS PRESS
https://schema.org/isbn
  • 978-960-474-282-0
http://localhost/t...ganizacniJednotka
  • 11320
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