Influence analysis of robust Wald-type tests

JOURNAL OF MULTIVARIATE ANALYSIS

卷:147

Article

Ghosh, Abhik¹  Mandal, Abhijit²  Martin, Nirian³  Pardo, Leandro³ 

[1] Indian Stat Inst, Kolkata, India

[2] Univ Minnesota, Minneapolis, MN USA

[3] Univ Complutense Madrid, Madrid, Spain

关键词: Divergence measures;    Wald-type test statistics;    Minimum density power divergence estimators;    Robustness;    Influence functions;    Chi-square inflation factor;   

DOI  :  10.1016/j.jmva.2016.01.004

来源: Elsevier

【 摘 要 】

We consider a robust version of the classical Wald test statistics for testing simple and composite null hypotheses for general parametric models. These test statistics are based on the minimum density power divergence estimators instead of the maximum likelihood estimators. An extensive study of their robustness properties is given though the influence functions as well as the chi-square inflation factors. It is theoretically established that the level and power of these robust tests are stable against outliers, whereas the classical Wald test breaks down. Some numerical examples confirm the validity of the theoretical results. (C) 2016 Elsevier Inc. All rights reserved.

【 授权许可】

Free