Abstract
A new estimator of the scale parameter σ of an absolutely continuous distribution F[(x - μ)/σ] in a location-scale family is described. The estimator is based on the empirical characteristic function of the data. It is affine equivariant, strongly consistent, asymptotically normal and has desirable robustness properties.
Original language | English (US) |
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Pages (from-to) | 185-192 |
Number of pages | 8 |
Journal | Statistics and Probability Letters |
Volume | 25 |
Issue number | 2 |
DOIs | |
State | Published - Nov 1 1995 |
Funding
The work of Marianthi Markatou was supported in part by NSF grant DMS-9008846 and that of Joel Horowitz by NSF grant SBR-9307677. Both authors were supported in part by NSF grant DMS-9208820. We thank Bruce Lindsay for helpful comments on a previous draft of the paper.
Keywords
- Breakdown point
- Characteristic function
- Influence function
- Scale parameter
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty