Robust Estimation of Location

Abstract The problem of estimating a location parameter from a random sample when the form of distribution is unknown or there is contamination of the target distribution is attacked by deriving estimators which are efficient over a class of two or more forms (“pencils”) of continuous symmetric unimodal distributions. The pencils considered are the normal, double exponential, Cauchy, parabolic, triangular, and rectangular (a limiting case). The estimators considered are special symmetrical linear combinations of order statistics: trimmed means, Winsorized means, “linearly weighted” means, and a combination of the median and two other order statistics. These are also compared asymptotically with a Hodges-Lehmann estimator. The theory required for deriving asymptotic variances is outlined. Efficiences are tabulated for sample sizes of 4 or 5, 8 or 9, 16 or 17, and ∞. Asymptotic efficiences of at least 0.82 relative to the best estimator for any single pencil are achieved by using the best trimmed mean or li...

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