Warwick, Jane and Jones, M. C. (2005) Choosing a robustness tuning parameter. Journal of Statistical Computation and Simulation, Volume 75 (Number 7). pp. 581-588. doi:10.1080/00949650412331299120 ISSN 0094-9655.

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Abstract

A novel method is proposed for choosing the tuning parameter associated with a family of robust estimators. It consists of minimising estimated mean squared error, an approach that requires pilot estimation of model parameters. The method is explored for the family of minimum distance estimators proposed by [Basu, A., Harris, I.R., Hjort, N.L. and Jones, M.C., 1998, Robust and efficient estimation by minimising a density power divergence. Biometrika, 85, 549–559.] Our preference in that context is for a version of the method using the L 2 distance estimator [Scott, D.W., 2001, Parametric statistical modeling by minimum integrated squared error. Technometrics, 43, 274–285.] as pilot estimator.

Item Type:	Journal Article
Divisions:	Faculty of Science, Engineering and Medicine > Medicine > Warwick Medical School > Clinical Trials Unit Faculty of Science, Engineering and Medicine > Medicine > Warwick Medical School > Health Sciences Faculty of Science, Engineering and Medicine > Medicine > Warwick Medical School
Journal or Publication Title:	Journal of Statistical Computation and Simulation
Publisher:	Taylor & Francis Ltd.
ISSN:	0094-9655
Official Date:	2005
Dates:	Date Event 2005 Published
Volume:	Volume 75
Number:	Number 7
Page Range:	pp. 581-588
DOI:	10.1080/00949650412331299120
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access

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