Next: Robust Bootstrap for Location
Our robust bootstrap deals with the two problems
mentioned above. On
the one hand, each evaluation of
our bootstrapped estimator is just a linear combination
of the re-sampled points so that the computing requirement is
minimal. On the other hand, we sample the data paired with
so that outlying observations are down-weighted. The
resulting estimate will not breakdown as long as the
bootstrap sample contains at least one ``good'' point.
For simplicity, I will first present our robust bootstrap in the
location model with known scale. The more general
location-scale setup is presented immediately after.
Department Web Master