A note on Tukey's polyefficiency
File(s)
Journal
Biometrika
Date Issued
September 1991
Author(s)
Abstract
The efficiency of an estimate Sn is usually computed at some underlying distribution. Because it is rare that a real situation can be represented by a single assumed model, Tukey proposed to compute instead the polyefficiency of Sn, that is the infimum of the efficiencies of Sn at a reasonable collection of distributions called corners. It is shown that high polyefficiency over a finite number of corners, seen as possible distributions of the n dimensional sample, implies at least as high an efficiency at any convex combination of these corners.