Asymptotics for an Adaptive Trimmed Likelihood Location Estimator

Author： Tadeusz Bednarski  

Publisher： Taylor & Francis Ltd

ISSN： 0233-1888

Source： Statistics, Vol.36, Iss.1, 2002-01, pp. : 1-8

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

An asymptotic normality result is given for an adaptive trimmed likelihood estimator of location, which parallels the asymptotic normality result for the adaptive trimmed mean. The new result comes out of studying the adaptive trimmed likelihood estimator modelled parametrically by a normal family but then examining the behavior when the underlying distribution is in fact some F different from normal. The asymptotic variance of the adaptive estimator is equal to the asymptotic variance of the trimmed likelihood estimator at the optimal trimming proportion for the distribution F, subject to that trimming proportion being positive and F being suitably smooth.

Related content

Moderate deviation principle for maximum-likelihood estimator

By Miao Yu   Wang Yanling  

Statistics, Vol. 48, Iss. 4, 2014-07 ,pp. : 766-777 (12)

Taylor & Francis Ltd

Access to resources Recommend Favorite

Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models

By  

JOURNAL OF TIME SERIES ANALYSIS, Vol. 36, Iss. 2, 2015-03 ,pp. : 154-188 (35)

John Wiley & Sons Inc

Access to resources Recommend Favorite

Maximum likelihood estimator in a multi-phase random regression model

By Ciuperca Gabriela  

Statistics, Vol. 42, Iss. 4, 2008-08 ,pp. : 363-381 (19)

Taylor & Francis Ltd

Access to resources Recommend Favorite

Asymptotic properties of maximum quasi-likelihood estimator in quasi-likelihood nonlinear models with misspecified variance function

By Xia Tian   Wang Xue-Ren   Jiang Xue-Jun  

Statistics, Vol. 48, Iss. 4, 2014-07 ,pp. : 778-786 (9)

Taylor & Francis Ltd

Access to resources Recommend Favorite

Investigation of the adaptive features of a real-time nonlinear freeway traffic state estimator

By Wang Yibing   Papageorgiou Markos   Messmer Albert  

Nonlinear Dynamics, Vol. 49, Iss. 4, 2007-09 ,pp. : 511-524 (14)

Springer Publishing Company

Access to resources Recommend Favorite