Computation of the Finite Sample Risk of M-Estimators on Neighborhoods
نویسندگان
چکیده
We compare various approaches for the determination of finite sample risks of one-dimensional location M-estimators on convex-contaminationand total-variation-type neighborhoods. As risks we consider MSE and certain over-/ undershooting probabilities like in Huber (1968) and Rieder (1980). These methods include (numerically) exact formulae (via FFT, Kohl et al. (2005)), Edgeworth expansions, saddlepoint approximations, an approach by Fraiman et al. (2001), first-, secondand third order asymptotics as well as simulations.
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تاریخ انتشار 2005