Asymptotic and Finite-Sample Properties in Statistical Estimation

Abstrakt

Our purpose in the present paper is to illustrate some distinctive differences between the asymptotic and finite-sample properties of robust estimators. We shall devote attention to the tail-behavior of M-estimators and of their one-step versions, and generally to the tail-behavior of equivariant estimators.

Klíčová slova

• robust estimation
• asymptotic properties
• finite sample properties
• tail behavior
• one-step version of estimator
• equivariant estimator