Abstract Generalizing MSE-optimality on 1/√ n -shrinking neighborhoods of contamination type, we determine the robust influence curve that minimizes maximum asymptotic risk, where risk may be any convex and isotone function G of L 2 - and L ∞ -norms. The solutions necessarily minimize the...

Motivated by the information bound for the asymptotic variance of M-estimates for scale, we define Fisher information of scale of any distribution function F on the real line as the supremum of all , where [phi] ranges over the continuously differentiable functions with derivative of compact...