2025/02/13 by Jens van ’t Klooster, Klooster, Jens, Bent Nielsen +1
Decision Sciences · Mathematics · #Advanced Statistical Methods and Models #Advanced Statistical Process Monitoring #Econometrics (econ.EM) #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Methodology (stat.ME) #Statistical Methods and Inference #Statistics Theory (math.ST)
paper · pdf · doi:10.48550/arxiv.2502.09145
openalex publication_date 2025/02/13 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We consider robust location-scale estimators under contamination. We show that commonly used robust estimators such as the median and the Huber estimator are inconsistent under asymmetric contamination, while the Tukey estimator is consistent. In order to make nuisance parameter free inference based on the Tukey estimator a consistent scale estimator is required. However, standard robust scale estimators such as the interquartile range and the median absolute deviation are inconsistent under contamination.