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MMLEs are as good as M-estimators or better

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  • Tiku, Moti L.
  • Sürücü, Baris

Abstract

Tiku-Suresh modified maximum likelihood estimators necessitate the assumption of a particular distribution. New forms of the estimators which, like Huber M-estimators, only assume that the distribution is long-tailed symmetric (unspecified) are given. They have high breakdown and, through simulations, are shown to be overall more efficient than M-estimators.

Suggested Citation

  • Tiku, Moti L. & Sürücü, Baris, 2009. "MMLEs are as good as M-estimators or better," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 984-989, April.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:7:p:984-989
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    References listed on IDEAS

    as
    1. Bi-super-˙rdal Senoğlu, 2005. "Robust 2k factorial design with Weibull error distributions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(10), pages 1051-1066.
    2. Tiku, Moti L. & Islam, M. Qamarul & Sazak, Hakan S., 2008. "Estimation in bivariate nonnormal distributions with stochastic variance functions," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1728-1745, January.
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