Influence analysis of robust Wald-type tests



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Ghosh, A. and Mandal, A. and Martin, N. and Pardo Llorente, Leandro (2016) Influence analysis of robust Wald-type tests. Journal Of Multivariate Analysis, 147 . pp. 102-126. ISSN 0047-259X

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We consider a robust version of the classical Wald test statistics for testing simple and composite null hypotheses for general parametric models. These test statistics are based on the minimum density power divergence estimators instead of the maximum likelihood estimators. An extensive study of their robustness properties is given though the influence functions as well as the chi-square inflation factors. It is theoretically established that the level and power of these robust tests are stable against outliers, whereas the classical Wald test breaks down. Some numerical examples confirm the validity of the theoretical results.

Item Type:Article
Uncontrolled Keywords:Divergence measures; Wald-type test statistics; Minimum density power divergence estimators; Robustness; Influence functions; Chi-square inflation factor
Subjects:Sciences > Mathematics > Mathematical statistics
ID Code:37943
Deposited On:01 Jun 2016 07:06
Last Modified:20 Apr 2023 08:43

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