Robust estimations from distribution structures: I. Mean

18 Mar 2024  ·  Tuobang Li ·

As the most fundamental problem in statistics, robust location estimation has many prominent solutions, such as the trimmed mean, Winsorized mean, Hodges Lehmann estimator, Huber M estimator, and median of means. Recent studies suggest that their maximum biases concerning the mean can be quite different, but the underlying mechanisms largely remain unclear. This study exploited a semiparametric method to classify distributions by the asymptotic orderliness of quantile combinations with varying breakdown points, showing their interrelations and connections to parametric distributions. Further deductions explain why the Winsorized mean typically has smaller biases compared to the trimmed mean; two sequences of semiparametric robust mean estimators emerge, particularly highlighting the superiority of the median Hodges Lehmann mean. This article sheds light on the understanding of the common nature of probability distributions.

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Statistics Theory Applications Computation Methodology Other Statistics Statistics Theory