Author/Authors :
haddad, john n. notre dame university - louaize - department of mathematics and statistics, lebanon
Title Of Article :
A NOTE ON OPTIMAL ESTIMATION IN THE PRESENCE OF OUTLIERS
Abstract :
The basic estimation problem of the mean and standard deviation of a random normal process in the presence of an outlying observation is considered. The value of the outlier is taken as a constraint imposed on the maximization problem of the log likelihood. It is shown that the optimal solution of the maximization problem exists and expressions for the estimates are given. Applications to estimation in the presence of outliers and outlier detection are discussed and illustrated through a simulation study and analysis of trade data.
NaturalLanguageKeyword :
Optimal estimation , Non Linear programming , Outliers
JournalTitle :
Lebanese Science Journal
