Robust tests based on dual divergence estimators and saddlepoint approximations
AbstractThis paper is devoted to robust hypothesis testing based on saddlepoint approximations in the framework of general parametric models. As is known, two main problems can arise when using classical tests. First, the models are approximations of reality and slight deviations from them can lead to unreliable results when using classical tests based on these models. Then, even if a model is correctly chosen, the classical tests are based on first order asymptotic theory. This can lead to inaccurate p-values when the sample size is moderate or small. To overcome these problems, robust tests based on dual divergence estimators and saddlepoint approximations, with good performances in small samples, are proposed.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 101 (2010)
Issue (Month): 5 (May)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Chris Field & John Robinson & Elvezio Ronchetti, 2008. "Saddlepoint approximations for multivariate M-estimates with applications to bootstrap accuracy," Annals of the Institute of Statistical Mathematics, Springer, vol. 60(1), pages 205-224, March.
- Broniatowski, Michel & Keziou, Amor, 2009. "Parametric estimation and tests through divergences and the duality technique," Journal of Multivariate Analysis, Elsevier, vol. 100(1), pages 16-36, January.
- Chris Field & John Robinson & Elvezio Ronchetti, 2008. "Saddlepoint approximations for multivariate M-estimates with applications to bootstrap accuracy," Annals of the Institute of Statistical Mathematics, Springer, vol. 60(1), pages 225-227, March.
- Toma, Aida & Broniatowski, Michel, 2011. "Dual divergence estimators and tests: Robustness results," Journal of Multivariate Analysis, Elsevier, vol. 102(1), pages 20-36, January.
- Chalabi, Yohan & Wuertz, Diethelm, 2012. "Portfolio optimization based on divergence measures," MPRA Paper 43332, University Library of Munich, Germany.
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