Dual divergence estimators and tests: Robustness results
The class of dual [phi]-divergence estimators (introduced in Broniatowski and Keziou (2009) ) is explored with respect to robustness through the influence function approach. For scale and location models, this class is investigated in terms of robustness and asymptotic relative efficiency. Some hypothesis tests based on dual divergence criteria are proposed and their robustness properties are studied. The empirical performances of these estimators and tests are illustrated by Monte Carlo simulation for both non-contaminated and contaminated data.
Volume (Year): 102 (2011)
Issue (Month): 1 (January)
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- 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.
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