Yet another breakdown point notion: EFSBP
AbstractThe breakdown point in its different variants is one of the central notions to quantify the global robustness of a procedure. We propose a simple supplementary variant which is useful in situations where we have no obvious or only partial equivariance: Extending the Donoho and Huber (The notion of breakdown point, Wadsworth, Belmont, 1983 ) Finite Sample Breakdown Point , we propose the Expected Finite Sample Breakdown Point to produce less configuration-dependent values while still preserving the finite sample aspect of the former definition. We apply this notion for joint estimation of scale and shape (with only scale-equivariance available), exemplified for generalized Pareto, generalized extreme value, Weibull, and Gamma distributions. In these settings, we are interested in highly-robust, easy-to-compute initial estimators; to this end we study Pickands-type and Location-Dispersion-type estimators and compute their respective breakdown points. Copyright Springer-Verlag 2012
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Bibliographic InfoArticle provided by Springer in its journal Metrika.
Volume (Year): 75 (2012)
Issue (Month): 8 (November)
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Web page: http://www.springerlink.com/link.asp?id=102509
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