The Annals of Statistics · 1974 · 20 citations · 2 references
Natural SciencesMathematicsStatisticsEstimation TheoryInferential StatisticsMaximum Likelihood EstimationRobust Statistical ModelingRobust StatisticsStatistical InferenceEfficient EstimationRank-based EstimationRobust EstimationRobust Linear ModelsRobust Location Estimation
In the estimation of a location parameter the Hodges-Lehmann estimator is known to have some "robust" properties, but it is very "expensive" for large sample sizes. By using the linearity of a special rank statistic we can find a linearized version which requires only $O(n \log n)$ operations.
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On Some Robust Estimates of Location
Peter J. Bickel · The Annals of Mathematical Statistics · 1965 · 168 citations · Full text