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WROCŁAW UNIVERSITY
OF SCIENCE AND
TECHNOLOGY

Contents of PMS, Vol. 7, Fasc. 2,
pages 95 - 102
 

ON ROBUST ESTIMATION OF VARIANCE COMPONENTS

Wojciech Zieliński

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 robust. 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: -

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