Robust estimation of scale of an exponential distribution

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Date

1997

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Publisher

Universitätsbibliothek Dortmund

Abstract

We consider a new estimator of scale for exponential samples which is most B-robust in the sense of Hampel et al. (1986). This estimator is compared with two other estimators which were proposed by Rousseeuw and Croux (1993) but for a Gaussian model. All three estimators have the same breakdown point, but their explosion bias curves are different. It is shown that under a gross error model the explosion bias curve of the new estimator performs better than the bias curves of the other estimators.

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Keywords

breakdown point, explosion bias curve, influence function

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