Neighborhoods as Nuisance Parameters
نویسنده
چکیده
Deviations from the center within a robust neighborhood may naturally be considered an innnite dimensional nuisance parameter. Thus, in principle, the semiparametric method may be tried, which is to compute the scores function for the main parameter minus its orthogonal projection on the closed linear tangent space for the nuisance parameter, and then rescale for Fisher consistency. We derive such a semiparametric innuence curve by nonlinear projection on the tangent balls arising in robust statistics. This semiparametric IC is compared with the robust IC that minimizes maximum weighted mean square error of asymptotically linear estimators over innnitesimal neighborhoods. For Hellinger balls, the two coincide (with the classical one). In the total variation model, the semiparametric IC solves the robust MSE problem for a particular bias weight. In the case of contamination neighborhoods, the semiparametric IC is bounded only from above. Due to an interchange of truncation and linear combination, the discrepancy increases with the dimension. Thus, despite of striking similarities, the semiparametric method falls short, or fails, to solve the minimax MSE problem for gross error models. This paper was written during a visit to Sonderforschungsbereich 373 (\Quantiikation und Simulation okonomischer Prozesse") at Humboldt{Universitt at zu Berlin. Financial support from Deutsche Forschungsgemeinschaft is gratefully acknowledged. I thank Wolfgang HH ardle for his hospitality.
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