The maximum entropy median in the presence of an outlier |
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Authors: | Henri Theil Sartaj A Kidwai Murat A Yalnizoḡlu |
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Institution: | University of Florida, Gainesville, FL 32611, USA |
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Abstract: | When a random sample of size n from a standard normal population is contaminated by a normal outlier with either a different mean or a different variance, the maximum entropy median outperforms the sample median in terms of squared-error loss. The only exception is when n=3 and the outlier mean or variance is sufficiently different. |
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