Robust estimates of ordered means in normal models

Abstract

In this paper we consider the problem of estimating the locations of several normal populations when an order relation between them is known to be true. We compare the maximum likelihood estimator, the M-estimators based on Huber’s ψ function, a robust weighted likelihood estimator, the Gastworth estimator and the trimmed mean estimator. A Monte-Carlo study illustrates the performance of the methods considered.

Keywords:

• Robust estimation
• ordered normal means
• M-estimator
• weighted likelihood estimator