Robust and Asymptotically Efficient Estimation of Location in a Stationary Strong Mixing Gaussian Parametric Model
This paper considers the problem of robust estimation of location in a model with stationary strong mixing Gaussian parametric distributions. An estimator is found that is within epsilon of being asymptotically efficient at the Gaussian parametric distribution and is within epsilon of being optimally robust! For the robustness results a Huber-type minimax criterion is used, where minimaxing takes place over neighborhoods of the parametric Gaussian distributions. The neighborhood system considered includes distributions of strong mixing processes and allows for deviations from the normal univariate parametric distributions within a Hellinger metric neighborhood, as well as deviations from stationarity and from the Gaussian structure of independence.
|Date of creation:||Nov 1982|
|Date of revision:|
|Publication status:||Published in Advances in Econometrics, Vol. 7, JAI Press, 1988, pp. 3-44|
|Contact details of provider:|| Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA|
Phone: (203) 432-3702
Fax: (203) 432-6167
Web page: http://cowles.yale.edu/
More information through EDIRC
|Order Information:|| Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Andrews, Donald W K, 1986. "Stability Comparisons of Estimators," Econometrica, Econometric Society, vol. 54(5), pages 1207-35, September.
When requesting a correction, please mention this item's handle: RePEc:cwl:cwldpp:659. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Matthew C. Regan)
If references are entirely missing, you can add them using this form.