OPTIMAL ROBUSTNESS FOR ESTIMATORS AND TESTS.
Abstract
The present paper is intended to complement research in efficiency-robustness of estimators, by supplying formulations of concepts, techniques, and initial results for optimally efficiencyrobust estimators and tests in several types of problems. The present approach may be described as a formal indexing of alternative specifications (e.g. shapes of error-distributions) by a nuisance parameter, and adaptation of admissibility and related concepts and Bayes techniques of the Neyman-Pearson and Wald theories to the estimation and testing problems thus formulated. Specific problemsfor which new optimal efficiency-robust estimators are given are: linear estimation of location parameters; rank tests and related estimators for two-sample problems; and unbiased estimation. A by-product is a generalization of Stein's characterization of locallybest unbiased estimators to the class of admissible unbiased estimators together with the corresponding complete class theorem. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Feb 01, 1965
- Accession Number
- AD0462032
Entities
People
- Allan Birnbaum
- Eugene Laska
Organizations
- New York University