Hier finden Sie wissenschaftliche Publikationen aus den Fraunhofer-Instituten.

Infinitesimally robust estimation in general smoothly parametrized models

: Kohl, M.; Ruckdeschel, P.; Rieder, H.


Statistical methods & applications 19 (2010), Nr.3, S.333-354
ISSN: 1618-2510
ISSN: 1613-981X
Fraunhofer ITWM ()

The aim of the paper is to give a coherent account of the robustness approach based on shrinking neighborhoods in the case of i.i.d. observations, and add some theoretical complements. An important aspect of the approach is that it does not require any particular model structure but covers arbitrary parametric models if only smoothly parametrized. In the meantime, equal generality has been achieved by object-oriented implementation of the optimally robust estimators. Exponential families constitute the main examples in this article. Not pretending a complete data analysis, we evaluate the robust estimates on real datasets from literature by means of our R packages ROptEst and RobLox.