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Robust Statistics

Peter J. Huber

ISBN: 978-0-471-72524-4 February 2005 320 Pages


The first systematic, book-length treatment of the subject. Begins with a general introduction and the formal mathematical background behind qualitative and quantitative robustness. Stresses concepts. Provides selected numerical algorithms for computing robust estimates, as well as convergence proofs. Tables contain quantitative robustness information for a variety of estimates.
1. Generalities.

2. The Weak Topology and Its Metrization.

3. The Basic Types of Estimates.

4. Asymptotic Minimax Theory for Estimating a Location Parameter.

5. Scale Estimates.

6. Multiparameter Problems, In Particular Joint Estimation of Location and Scale.

7. Regression.

8. Robust Covariance and Correlation Matrices.

9. Rubustness of Design.

10. Exact Finite Sample Results.

11. Miscellaneous Topics.



“…informative and worth the effort for anyone with an interest in this field...” (ISCB News 38, December 2004)