Asymptotic Minimax Properties of L-Estimators of Scale
This paper asks whether or not the efficient L-estimator of scale corresponding to the least informative distribution in ?-contamination and Kol-mogorov neighbourhoods of certain distributions possesses the saddlepoint property. This is of interest since the saddlepoint property implies the mini-max property, namely, that the supremum of the relative asymptotic variance of an L-estimator is minimized by the efficient estimator corresponding to that member of the distributional class with minimum Fisher information for scale. Our findings are negative in all cases investigated.
Australian and New Zealand Journal of Statistics
Wu, E. K. H. and Leung, Denis H. Y..
Asymptotic Minimax Properties of L-Estimators of Scale. (1992). Australian and New Zealand Journal of Statistics. 34, (3), 421-432. Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/506
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