Huber’s gross-errors contamination model considers the class Fε of all noise distributions F = (1 − ε)Φ + εH, with Φ standard normal, ε ∈ (0, 1) the contamination fraction, and H the contaminating distribution. A half century ago, Huber evaluated the minimax asymptotic variance in scalar location estimation, min ψ max F∈Fε V (ψ, F ) = 1 I(F ∗ ε ) (1) where V (ψ,F ) denotes the asymptotic varian...
