Minimum [phi]-divergence estimation in misspecified multinomial models

M.D. Jiménez-Gamero, R. Pino-Mejías, V. Alba-Fernández and J.L. Moreno-Rebollo

Computational Statistics & Data Analysis, 2011, vol. 55, issue 12, 3365-3378

Abstract: The consequences of model misspecification for multinomial data when using minimum [phi]-divergence or minimum disparity estimators to estimate the model parameters are considered. These estimators are shown to converge to a well-defined limit. Two applications of the results obtained are considered. First, it is proved that the bootstrap consistently estimates the null distribution of certain class of test statistics for model misspecification detection. Second, an application to the model selection test problem is studied. Both applications are illustrated with numerical examples.

Keywords: Minimum; phi-divergence; estimator; Consistency; Asymptotic; normality; Goodness-of-fit; Bootstrap; distribution; estimator; Model; selection (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:55:y:2011:i:12:p:3365-3378

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