ON ROBUST ESTIMATION OF VARIANCE COMPONENTS
Abstract: Estimating functions of variance components is considered. The problem is to find
an estimator, the variance of which changes as little as possible when the kurtosis of the
underlying distribution runs over a given interval; such estimators are called In the
paper the existence of robust estimators is considered. The robust estimators with minimal
variance are constructed. A comparison of robust and standard estimators is discussed.
2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;
Key words and phrases: -