Choice of estimation of unknown parameter under contaminated error model
来源期刊：中国有色金属学报(英文版)1999年第4期
论文作者：王志忠 朱建军
文章页码：852 - 856
Key words：contaminated model; least squares estimation; least absolute sum estimation
Abstract: The ε -contaminated normal distribution, ψ(Δ ) = (1 - ε )ψ0(Δ ) +εψ1 (Δ ), was considered as error model occurring in practice (ψ = probability function, Δ = observation error). The variances of the L1 (Least Absolute Sum) estimation and the L2 (Least Squares) estimation were compared with each other based on their asymptotic distribution. The revised L2 estimation was then derived. The conditions that the L1 estimation is superior to the L2 estimation and that the revised L2 estimation is superior to L1 estimation were discussed.
