A monte carlo study of robust estimators of location
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Andrews et al (1972) carried out an extensive Monte Carlo study of robust estimators of location. Their conclusions were that the hampel and the skipped estimates, as classes, seemed to be preferable to some of the other currently fashionable estima-tors. The present study extends this work to include estimators not previously examined. The estimators are compared over short-tailed as well as long-tailed alternatives and also over some dependent data generated by first-order autoregressive schemes. The conclusions of the present study are threefold. First, from our limited study, none of the so-called robust estimators are very efficient over short-tailed situations. More work seems to be necessary in this situation. Second, none of the estimators perform very well in dependent data situations, particularly when the correlation is large and positive. This seems to be a rather pressing problem. Finally, for long-tailed alternatives, the ham-pel estimators and Hogg-type adaptive versions of the hampels are the strongest classes. The adaptive hampels neither uniformly. 1977, Taylor & Francis Group, LLC. All rights reserved.
