1. On the Robust Estimations of Location and Scale Parameters for Least Informative Distributions.
- Author
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ÇANKAYA, Mehmet Niyazi
- Subjects
- *
MAXIMUM likelihood statistics , *ROBUST control , *PROBABILITY density function , *AUTOMATIC control systems , *PROBABILITY theory - Abstract
M-estimation as generalization of maximum likelihood estimation (MLE) method is well-known approach to get the robust estimations of location and scale parameters in objective function ρ especially. Maximum logq likelihood estimation (MLqE) method uses different objective function called as ρlogq. These objective functions are called as M functions which can be used to fit data set. The least informative distribution (LID) is convex combination of two probability density functions f0 and f1. In this study, the location and scale parameters in any objective functions ρlogq, ρlog and ψlogq (f0, f1) which are from MLE, MLqE and LIDs in MLqE are estimated robustly and simultaneously. The probability density functions which are f0 and f1 underlying and contamination distributions respectively are chosen from exponential power (EP) distributions, since EP has shape parameter σ to fit data efficiently. In order to estimate the location µ and scale σ parameters, Huber M-estimation, MLE of generalized t (Gt) distribution are also used. Finally, we test the fitting performance of objective functions by using a real data set. The numerical results showed that ψlogq (f0, f1) is more resistance values of estimates for µ and σ when compared with other ρ functions. [ABSTRACT FROM AUTHOR]
- Published
- 2020