Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1145245 | Journal of Multivariate Analysis | 2016 | 25 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Abhik Ghosh, Abhijit Mandal, Nirian Martín, Leandro Pardo,