The bias of \(k\)-step M-estimators. (English) Zbl 0801.62036

Summary: It is well-known that \(k\)-step \(M\)-estimators can yield a high efficiency without losing the breakdown point of the initial estimator. In this note we derive their bias curves. In the location framework the bias increases only slightly with \(k\), but in the scale case the bias curves change considerably.


62F35 Robustness and adaptive procedures (parametric inference)
62F10 Point estimation
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