Adaptive m estimation of symmetric distribution location

Abstract

An adaptive M esitmation procedure for using a random sample to estimate the location parameter of an unknown symmetric distribution is developed. The procedure may be applied to samples from distributions with tail lenghts at least as heavy as normal distribution tails. Simulation studies demonstrate the potential of the new estimator for producing good location estimates.

Keywords:

• Location parameter
• Monte Carlo swindle
• robust estimation' Student t distribution