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Dual divergence estimators and tests: Robustness results

  • Toma, Aida
  • Broniatowski, Michel
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    The class of dual [phi]-divergence estimators (introduced in Broniatowski and Keziou (2009) [5]) 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.

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    File URL: http://www.sciencedirect.com/science/article/B6WK9-50P4N29-1/2/7648ffaa785c8e454e378d6edbcefecc
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    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 102 (2011)
    Issue (Month): 1 (January)
    Pages: 20-36

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    Handle: RePEc:eee:jmvana:v:102:y:2011:i:1:p:20-36
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    1. Raúl Jiménz & Yongzhao Shao, 2001. "On robustness and efficiency of minimum divergence estimators," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 10(2), pages 241-248, December.
    2. Ayanendranath Basu & Bruce Lindsay, 1994. "Minimum disparity estimation for continuous models: Efficiency, distributions and robustness," Annals of the Institute of Statistical Mathematics, Springer, vol. 46(4), pages 683-705, December.
    3. Rosario Dell'Aquila & Elvezio Ronchetti, 2004. "Robust tests of predictive accuracy," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 161-184.
    4. Toma, Aida & Leoni-Aubin, Samuela, 2010. "Robust tests based on dual divergence estimators and saddlepoint approximations," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1143-1155, May.
    5. Toma, Aida, 2009. "Optimal robust M-estimators using divergences," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 1-5, January.
    6. 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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