Robust nonparametric inference for the median

• 成果类型: Article
• 署名作者: Yohai, VJ; Zamar, RH
• 署名单位: University of Buenos Aires; Consejo Nacional de Investigaciones Cientificas y Tecnicas (CONICET); University of British Columbia
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/009053604000000634
• 发表日期: 2004
• 页码: 1841-1857
• 关键词: confidence-intervals; rank-tests; location

摘要

We consider the problem of constructing robust nonparametric confidence intervals and tests of hypothesis for the median when the data distribution is unknown and the data may contain a small fraction of contamination. We propose a modification of the sign test (and its associated confidence interval) which attains the nominal significance level (probability coverage) for any distribution in the contamination neighborhood of a continuous distribution. We also define some measures of robustness and efficiency under contamination for confidence intervals and tests. These measures are computed for the proposed procedures.