Definition:Robust Estimator

Definition

An estimator which:

behaves like an optimum estimator when the assumptions for that estimator hold.

gives estimates which are almost as efficient when the assumptions break down

is called a robust estimator.

Also see

• Results about $m$-estimators can be found here.

Sources

• 1998: David Nelson: The Penguin Dictionary of Mathematics (2nd ed.) ... (previous) ... (next): $m$-estimator
• 2008: David Nelson: The Penguin Dictionary of Mathematics (4th ed.) ... (previous) ... (next): $m$-estimator