Activity Number:
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44
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Type:
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Contributed
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Date/Time:
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Sunday, August 11, 2002 : 4:00 PM to 5:50 PM
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Sponsor:
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Section on Nonparametric Statistics*
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Abstract - #300591 |
Title:
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Computing the Efficiency and Turning Constants for M-estimation
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Author(s):
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Colin Chen*+ and Guosheng Yin
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Affiliation(s):
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SAS Institute Inc. and University of North Carolina
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Address:
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SAS Campus Drive , Cary, North Carolina, 27513,
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Keywords:
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M-estimation ; asymptotic efficiency ; turning constant ; weight function
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Abstract:
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For the redescending M-estimation, the turning constant in the redescending $\psi$-function and the asymptotic efficiency of the M-estimator have a one-to-one relation. The computing of the asymptotic efficiency as a function of the turning constant, as well as the turning constant as a function of the asymptotic efficiency with a group of $\rho$-functions are discussed. While the asymptotic efficiency as a function of the turning constant can be computed by some closed forms with integrations, the reverse function does not have a closed form. We use some cumulative distribution functions to fit the turning constant with high accuracy.
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