Robustness of Location Estimators Under Changes of Population Kurtosis
- 1 June 1977
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 72 (358) , 393
- https://doi.org/10.2307/2286805
Abstract
We investigate the robustness of various estimators of the mean for two families of symmetric distributions (exponential power and t) indexed by the kurtosis γ and Hogg's (1972) measure of tail thickness Q. For fixed γ or Q, the optimal estimator for one family is often inefficient for the other family. Furthermore, over various ranges of γ or Q some common estimators (e.g., the median) are efficient only for one family. However, other estimators (e.g., some trimmed means and Gastwirth's three-percentile estimator (1966)) do maintain good efficiency over a wide range of γ or Q.Keywords
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