A new infinitesimal approach to robust estimation

Abstract

The infinitesimal robustness of the asymptotic variance of location M-estimators is investigated by means of the change-of-variance curve (CVC), which bears some resemblance to the influence curve (IC). It is proved that this CVC leads to a more stringent robustness property than the IC and that the Huber estimators are still optimal in this new sense. © 1981 Springer-Verlag.