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On the gradient statistic under model misspecification

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  • Lemonte, Artur J.
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    Abstract

    A robust gradient statistic under model misspecification is proposed and its asymptotic distribution under the null hypothesis is determined. Several examples are presented and Monte Carlo simulation experiments are carried out.

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    File URL: http://www.sciencedirect.com/science/article/pii/S016771521200380X
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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 83 (2013)
    Issue (Month): 1 ()
    Pages: 390-398

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    Handle: RePEc:eee:stapro:v:83:y:2013:i:1:p:390-398

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    Related research

    Keywords: Gradient test; Likelihood ratio test; Robust statistics; Score test; Wald test;

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    1. Lemonte, Artur J. & Ferrari, Silvia L.P., 2011. "Size and power properties of some tests in the Birnbaum-Saunders regression model," Computational Statistics & Data Analysis, Elsevier, vol. 55(2), pages 1109-1117, February.
    2. Artur Lemonte & Silvia Ferrari, 2012. "The local power of the gradient test," Annals of the Institute of Statistical Mathematics, Springer, vol. 64(2), pages 373-381, April.
    3. Cristiano Varin, 2008. "On composite marginal likelihoods," AStA Advances in Statistical Analysis, Springer, vol. 92(1), pages 1-28, February.
    4. Lemonte, Artur J. & Ferrari, Silvia L.P., 2011. "Testing hypotheses in the Birnbaum-Saunders distribution under type-II censored samples," Computational Statistics & Data Analysis, Elsevier, vol. 55(7), pages 2388-2399, July.
    5. Richard Royall & Tsung-Shan Tsou, 2003. "Interpreting statistical evidence by using imperfect models: robust adjusted likelihood functions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 391-404.
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