Tukey's M-estimator of the Poisson parameter with a special focus on small means

作者：Elsaied Hanan; Fried Roland^*

来源：Statistical Methods and Applications, 2016, 25(2): 191-209.

DOI：10.1007/s10260-015-0295-x

• Count data
• Poisson model
• Huber M-estimator
• Tukey M-estimator
• Outliers
• Robustness

We treat robust M-estimators for independent and identically distributed Poisson data. We introduce modified Tukey M-estimators with bias correction and compare them to M-estimators based on the Huber function as well as to weighted likelihood and other estimators by simulation in case of clean data and data with outliers. In particular, we investigate the problem of combining robustness and high efficiencies at small Poisson means caused by the strong asymmetry of such Poisson distributions and propose a further estimator based on adaptive trimming. The advantages of the constructed estimators are illustrated by an application to smoothing count data with a time varying mean and level shifts.

• 出版日期2016-6