Efficiency-Constrained Bias-Robust Estimation of Location

Efficiency Constrained Bias Robust Estimation of Location

Bias Robust Estimation of Scale Where Location Is Unknown

In this paper we consider the problem of robust estimation of the scale of the location residuals when the "true" underlying distribution of the data belongs to a contamination neighborhood of a parametric location-scale family. First we show that a scaled version of the l\tlADAM (median of absolute residuals about the median) is approximately most bias-robust within the class 0 Huber's proposa...

Bias Robust Estimation of Scale

A Robust Estimation of Location and Scatter

Statisticians face increasingly the task of analyzing large and high dimension multivariate data sets. This is due to the advances in computer technology which have facilitated greatly the collection of large data sets and, on the other hand, to the fact that most statistical experiments are multivariate in nature. One of the primary problems encountered in this task is robust estimation of loc...

A Robust Knapsack Based Constrained Portfolio Optimization

Many portfolio optimization problems deal with allocation of assets which carry a relatively high market price. Therefore, it is necessary to determine the integer value of assets when we deal with portfolio optimization. In addition, one of the main concerns with most portfolio optimization is associated with the type of constraints considered in different models. In many cases, the resulted p...