Mathematicae Probability and Statistics 22(1,2) (2002) 61-71
ROBUST M-ESTIMATOR OF PARAMETERS IN VARIANCE COMPONENTS MODEL
Roman Zmyślony and Stefan Zontek
Institute of Mathematics
University of Zielona Góra
Podgórna 50, 65-246 Zielona Góra, Poland
It is shown that a method of robust estimation in a two way crossed classification mixed model, recently
proposed by Bednarski and Zontek (1996), can be extended to a more general case of variance components model
with commutative a covariance matrices.
Keywords: Robust estimator, maximum likelihood estimator, statistical functional, Fisher
consistency, Fréchet differentiability.
2000 Mathematics Subject Classification: 62F35, 62J05.
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Received 26 November 2002