The 1972 Wald Lecture Robust Statistics: A Review

Abstract

This is a selective review on robust statistics, centering on estimates of location, but extending into other estimation and testing problems. After some historical remarks, several possible concepts of robustness are critically reviewed. Three important classes of estimates are singled out and some basic heuristic tools for assessing properties of robust estimates (or test statistics) are discussed: influence curve, jackknifing. Then we give some asymptotic and finite sample minimax results for estimation and testing. The material is complemented by miscellaneous remarks on: computational aspects; other estimates; scale, regression, time series and other estimation problems; some tentative practical recommendations.