Optimally Robust Linear Estimators of Location

Abstract

Efficiency-robust linear estimation as outlined in Birnbaum and Laska (JASA, 62 (1967) pp. 1230–1240) is applied, determining maximin-efficient linear unbiased estimators (MLUEs), and their efficiencies, for ordered samples of sizes 5 (5) 20 from a family of nine distributions. The results are compactly summarized because of the tendency of these distributions to admit simple orderings such that the MLUE over any subset of the distributions is just the MLUE over the extreme pair in the ordered subset. Relations to other methods are discussed.