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Title: On M-estimators and normal quantiles
Related: The Annals of statistics, Vol. 31, Issue 4, p.1170-1185
DOI: 10.1214/aos/1059655910
Publisher: Institute of Mathematical Statistics
Date: 2003
Author/Creator: Kozek, Andrzej S
Description: This paper explores a class of robust estimators of normal quantiles filling the gap between maximum likelihood estimators and empirical quantiles. Our estimators are linear combinations of M-estimators. Their asymptotic variances can be arbitrarily close to variances of the maximum likelihood estimators. Compared with empirical quantiles, the new estimators offer considerable reduction of variance at near normal probability distributions.
Description: 16 page(s)
Subject Keyword: a-quantiles
Subject Keyword: asymptotics
Subject Keyword: M-estimator
Subject Keyword: M-functional
Subject Keyword: normal quantiles
Subject Keyword: robust
Resource Type: journal article
Organisation: Macquarie University. Dept. of Statistics

Identifier: http://hdl.handle.net/1959.14/44134
Identifier: ISSN:0090-5364
Identifier: mq-rm-2003018554
Language: eng
Rights: Publisher PDF allowed as per publisher agreement.
Rights: The original article can be found at http://dx.doi.org/10.1214/aos/1059655910. Article archived for private and non-commercial use with the permission of the author and according to publisher conditions. For further information see http://www.imstat.org/aos/.
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