- L-estimator
In
robust statistics , an L-estimator is anestimator which equals a linear combination oforder statistics of the measurements.Consider, for example, the
median . Given "n" measurements , where "n" is odd, the median equals , the th order statistic (for even, it is the average of two order statistics: ). The median is therefore a simple example of an L-estimator. Other examples include thetrimean , thetrimmed mean , and theWinsorized mean .Not all L-estimators are robust: the minimum, maximum,
mean , andmid-range are all L-estimators, but have a breakdown point of 0. Thebreakdown point is defined as the fraction of the measurements which can be arbitrarily changed without causing the resulting estimate to tend to infinity (i.e., to "break down"). The breakdown point of an L-estimator is given by the closest order statistic to the minimum or maximum: for instance, the median has a breakdown point of 50% (the highest possible), and a "n"% trimmed or Winsorized mean has a breakdown point of "n"%.References
*cite book |author=Huber, Peter W. |title=Robust statistics |publisher=Wiley-Interscience |location=New York |year=2004 |pages= |isbn=0-471-65072-2 |oclc= |doi= |accessdate=
*cite book |author=Shao, Jun |title=Mathematical statistics |publisher=Springer-Verlag |location=Berlin |year=2003 |pages=sec. 5.2.2 |isbn=0-387-95382-5 |oclc= |doi= |accessdate=
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