Influence analysis of robust Wald-type tests

Authors

Abhik Ghosh, Indian Statistical Institute, Kolkata
Abhijit Mandal, University of Minnesota Twin Cities
Nirian Martín, Universidad Complutense de Madrid
Leandro Pardo, Universidad Complutense de Madrid

Article Type

Research Article

Publication Title

Journal of Multivariate Analysis

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.

First Page

102

Last Page

126

DOI

10.1016/j.jmva.2016.01.004

Publication Date

5-1-2016

Comments

Open Access; Bronze Open Access

Recommended Citation

Ghosh, Abhik; Mandal, Abhijit; Martín, Nirian; and Pardo, Leandro, "Influence analysis of robust Wald-type tests" (2016). Journal Articles. 4262.
https://digitalcommons.isical.ac.in/journal-articles/4262