Variance Breakdown of Huber (M)-estimators: $n/p\to m\in (1,\infty )$

David L. Donoho, Andrea Montanari

A half century ago, Huber evaluated the minimax asymptotic variance in scalar location estimation, ${\min }_{\psi }{\max }_{F\in {\mathcal{F}}_{\epsilon }}V(\psi ,F)=\frac{1}{I(F_{\epsilon }^{\ast })}$, where $V(\psi ,F)$ de…