Tagged Questions
1
vote
0answers
20 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 ...
1
vote
1answer
21 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 ...
3
votes
0answers
126 views
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 ...
7
votes
2answers
351 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 ...
3
votes
0answers
208 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 ...
1
vote
0answers
102 views
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 ...
5
votes
1answer
176 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?
...
5
votes
1answer
226 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 ...
1
vote
2answers
71 views
What quantity can be used to robustly estimate a specific (dimensionless) variation (variance) of a sequence?
What quantity can be used to robustly estimate a specific variation of a sequence?
By "specific" I mean "dimensionless, per-unit" etc, that is, independent on units of measurement and independent on ...
7
votes
1answer
156 views
Estimating parameters of sum-stable RV via L-estimators
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 ...
