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L-estimator

In robust statistics, an L-estimator is an estimator which equals a linear combination of order statistics of the measurements.

Consider, for example, the median. Given n measurements , where n is odd, the median equals x_{((n + 1) / 2)}, the (n + 1) / 2th order statistic. The median is therefore a simple example of an L-estimator. Other examples include the trimean, the trimmed mean, and the Winsorized mean.

References

• Huber, Peter W. (2004). Robust statistics. New York: Wiley-Interscience. ISBN 0-471-65072-2.