On robust estimation via pseudo-additive information

We consider a robust parameter estimator minimizing an empirical approximation to the q-entropy and show its relationship to minimization of power divergences through a simple parameter transformation. The estimator balances robustness and efficiency through a tuning constant q and avoids kernel density smoothing. We derive an upper bound to the estimator mean squared error under a contaminated reference model and use it as a min-max criterion for selecting q. Copyright 2012, Oxford University Press.