# Tagged Questions

43 views

### Robust mean estimation with O(1) update efficiency

I am looking for a robust estimation of the mean that has a specific property. I have a set of elements for which I want to calculate this statistic. Then, I add new elements one at a time, and for ...
28 views

### minimax and transformations

for two real random $n$-vector $y$ and $x$ and a random $n$-vector $e$ with distribution $F$ independent of $x$ we know (1) that the estimator $$\text{med}\left( \frac{y_i}{x_i}\right)$$ is ...
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### Robust parameter estimation for Exponentially modified Gaussian distribution

I'd like to test how well my data can be modeled by an Exponentially modified Gaussian distribution (Wikipedia) or Normal-exponential-gamma (NEG) Distribution. However, the parameter estimation (which ...
518 views

### Estimating parameters of a normal distribution: median instead of mean?

The common approach for estimating the parameters of a normal distribution is to use the mean and the sample standard deviation / variance. However, if there are some outliers, the median and the ...
247 views

### Definition and Convergence of Iteratively Reweighted Least Squares

I've been using iteratively reweighted least squares (IRLS) to minimize functions of the following form, $J(m) = \sum_{i=1}^{N} \rho \left(\left| x_i - m \right|\right)$ where $N$ is the number of ...
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### Optimal winsorizing cutoff for stratified proportional to size sampling

I'm trying to use Kokic & Bell 's ideas to find the cutoffs for the following population estimator $\sum_{h}\frac{1}{n_h}\sum_{i}\frac{M_{hi}}{z_{hi}}\frac{1}{m_{hi}}\sum_j y_{hij}^*,$ where we ...
199 views

### Robust estimation of a geometric random variable

I have a bunch of data which is assumed to be instances of a geometric random variable with outliers. How can I do a robust estimation of the parameter $p$ so that the effect of outliers is minimized? ...
282 views

### Robust estimation of Poisson distribution

I have a set of numbers which are assumed to be coming from a Poisson distribution. The set has some outliers also and because of that, maximum likelihood estimates are badly affected. I heard that ...
One of the purported uses of L-estimators is the ability to 'robustly' estimate the parameters of a random variable drawn from a given class. One of the downsides of using Levy $\alpha$-stable ...