In statistics, an L-estimator is an estimator which is a linear combination of order statistics of the measurements (which is also called an L-statistic). This can be as little as a single point, as in the median (of an odd number of values), or as many as all points, as in the mean.
The main benefits of L-estimators are that they are often extremely simple, and often robust statistics: assuming sorted data, they are very easy to calculate and interpret, and are often resistant to outliers. They thus are useful in robust statistics, as descriptive statistics, in statistics education, and when computation is difficult. However, they are inefficient, and in modern times robust statistics M-estimators are preferred, though these are much more difficult computationally. In many circumstances L-estimators are reasonably efficient, and thus adequate for initial estimation.
Examples
A basic example is the median. Given n values , if is odd, the median equals , the -th order statistic; if is even, it is the average of two order statistics: . These are both linear combinations of order statistics, and the median is therefore a simple example of an L-estimator.
A more detailed list of examples includes: with a single point, the maximum, the minimum, or any single order statistic or quantile; with one or two points, the median; with two points, the mid-range, the range, the midsummary (trimmed mid-range, including the midhinge), and the trimmed range (including the interquartile range and interdecile range); with three points, the trimean; with a fixed fraction of the points, the trimmed mean (including interquartile mean) and the Winsorized mean; with all points, the mean.
Note that some of these (such as median, or mid-range) are measures of central tendency, and are used as estimators for a location parameter, such as the mean of a normal distribution, while others (such as range or trimmed range) are measures of statistical dispersion, and are used as estimators of a scale parameter, such as the standard deviation of a normal distribution.
L-estimators can also measure the shape of a distribution, beyond location and scale. For example, the midhinge minus the median is a 3-term L-estimator that measures the skewness, and other differences of midsummaries give measures of asymmetry at different points in the tail.
Sample L-moments are L-estimators for the population L-moment, and have rather complex expressions. L-moments are generally treated separately; see that article for details.
Robustness
L-estimators are often statistically resistant, having a high breakdown point. This is defined as the fraction of the measurements which can be arbitrarily changed without causing the resulting estimate to tend to infinity (i.e., to "break down"). The breakdown point of an L-estimator is given by the closest order statistic to the minimum or maximum: for instance, the median has a breakdown point of 50% (the highest possible), and a n% trimmed or Winsorized mean has a breakdown point of n%.
Not all L-estimators are robust; if it includes the minimum or maximum, then it has a breakdown point of 0. These non-robust L-estimators include the minimum, maximum, mean, and mid-range. The trimmed equivalents are robust, however.
Robust L-estimators used to measure dispersion, such as the IQR, provide robust measures of scale.
Applications
In practical use in robust statistics, L-estimators have been replaced by M-estimators, which provide robust statistics that also have high relative efficiency, at the cost of being much more computationally complex and opaque.
However, the simplicity of L-estimators means that they are easily interpreted and visualized, and makes them suited for descriptive statistics and statistics education; many can even be computed mentally from a five-number summary or seven-number summary, or visualized from a box plot. L-estimators play a fundamental role in many approaches to non-parametric statistics.
Though non-parametric, L-estimators are frequently used for parameter estimation, as indicated by the name, though they must often be adjusted to yield an unbiased consistent estimator. The choice of L-estimator and adjustment depend on the distribution whose parameter is being estimated.