Negative Exponential Disparity Based Robust Estimates of Ordered Means in Normal Models

  • Bhattacharya, Bhaskar (Associate Professor, Department of Mathematics, Southern Illinois University) ;
  • Sarkar, Sahadeb (Professor, O. M. Group, Indian Institute of Management Calcutta) ;
  • Jeong, Dong-Bin (Assistant Professor, Department of Statistics, Kangnung National University)
  • Published : 2000.08.01

Abstract

Lindsay (1994) and Basu et al (1997) show that another density-based distance called the negative exponential disparity (NED) is an excellent competitor to the Hellinger distance (HD) in generating an asymptotically fully efficient and robust estimator. Bhattacharya and Basu (1996) consider estimation of the locations of several normal populations when an order relation between them is known to be true. They empirically show that the robust HD based weighted likelihood estimators compare favorably with the M-estimators based on Huber's $\psi$ function, the Gastworth estimator, and the trimmed mean estimator. In this paper we investigate the performance of the weighted likelihood estimator based on the NED as a robust alternative relative to that based on the HD. The NED based estimator is found to be quite competitive in the settings considered by Bhattacharya and Basu.

Keywords

References

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