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Robust estimation of a location parameter

. Annals of Mathematical Statistics, 35 (1): 73--101 (March 1964)
DOI: 10.1214/aoms/1177703732

Abstract

This paper contains a new approach toward a theory of robust estimation; it treats in detail the asymptotic theory of estimating a location parameter for contaminated normal distributions, and exhibits estimators--intermediaries between sample mean and sample median--that are asymptotically most robust (in a sense to be specified) among all translation invariant estimators.

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