Dual divergence estimators and tests: Robustness results

Aida Toma and Michel Broniatowski

Journal of Multivariate Analysis, 2011, vol. 102, issue 1, 20-36

Abstract: 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.

Keywords: Location; model; Minimum; divergence; estimators; Robust; estimation; Robust; test; Scale; model (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (20)

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