On (in)consistency of M-estimators under contamination
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866913689338118144 |
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| author | Klooster, Jens Nielsen, Bent |
| author_facet | Klooster, Jens Nielsen, Bent |
| contents | We consider robust location-scale estimators under contamination. We show that commonly used robust estimators such as the median and the Huber estimator are inconsistent under asymmetric contamination, while the Tukey estimator is consistent. In order to make nuisance parameter free inference based on the Tukey estimator a consistent scale estimator is required. However, standard robust scale estimators such as the interquartile range and the median absolute deviation are inconsistent under contamination. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2502_09145 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | On (in)consistency of M-estimators under contamination Klooster, Jens Nielsen, Bent Statistics Theory Econometrics Methodology We consider robust location-scale estimators under contamination. We show that commonly used robust estimators such as the median and the Huber estimator are inconsistent under asymmetric contamination, while the Tukey estimator is consistent. In order to make nuisance parameter free inference based on the Tukey estimator a consistent scale estimator is required. However, standard robust scale estimators such as the interquartile range and the median absolute deviation are inconsistent under contamination. |
| title | On (in)consistency of M-estimators under contamination |
| topic | Statistics Theory Econometrics Methodology |
| url | https://arxiv.org/abs/2502.09145 |