Abstract #301216

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JSM 2002 Abstract #301216
Activity Number: 76
Type: Contributed
Date/Time: Monday, August 12, 2002 : 8:30 AM to 10:20 AM
Sponsor: General Methodology
Abstract - #301216
Title: Optimal Trimming in Contaminated Pareto Samples
Author(s): Vytaras Brazauskas*+
Affiliation(s): University of Wisconsin, Milwaukee
Address: 3200 N. Cramer Ave., Milwaukee, Wisconsin, 53211, USA
Keywords: Contamination ; Pareto ; Robustness ; Simulation ; Tail Index ; Trimmed Means
Abstract:

In this presentation, we investigate behavior of the trimmed mean type estimators of the tail index of a single-parameter Pareto distribution under various types of contamination. The mean-square error (MSE) is used as a criterion for assessing performance of the estimators. Large-sample MSE is derived by applying standard robustness tools, such as the breakdown point, gross error sensitivity, and change-of-variance sensitivity. Additionally, we will discuss some simulation results, which demonstrate the effect of different types of contamination on the asymptotic findings.

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Revised March 2002