Influence analysis of robust Wald-type tests

Abhik Ghosh, Abhijit Mandal, Nirian Martín, Leandro Pardo

Research output: Contribution to journalArticlepeer-review

20 Scopus citations

Abstract

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.

Original languageEnglish (US)
Pages (from-to)102-126
Number of pages25
JournalJournal of Multivariate Analysis
Volume147
DOIs
StatePublished - May 1 2016
Externally publishedYes

Bibliographical note

Funding Information:
This paper was supported by Ministerio de Economía y Competitividad of Spain , Grant MTM-2012-33740 .

Publisher Copyright:
© 2016 Elsevier Inc.

Keywords

  • Chi-square inflation factor
  • Divergence measures
  • Influence functions
  • Minimum density power divergence estimators
  • Robustness
  • Wald-type test statistics

Fingerprint

Dive into the research topics of 'Influence analysis of robust Wald-type tests'. Together they form a unique fingerprint.

Cite this