Robustness of Minimum Density Power Divergence Estimators and Wald-type test statistics in loglinear models with multinomial sampling

2021 ◽  
Vol 386 ◽  
pp. 113214
Author(s):  
Aida Calviño ◽  
Nirian Martín ◽  
Leandro Pardo
Keyword(s):  
Test Statistics ◽  
Loglinear Models ◽  
Density Power Divergence ◽  
Minimum Density ◽  
Type Test ◽  
Multinomial Sampling ◽  
Power Divergence

scholarly journals Composite Likelihood Methods Based on Minimum Density Power Divergence Estimator

2017 ◽  
Author(s):  
Elena Castilla ◽  
Nirian Martín ◽  
Leandro Pardo ◽  
Konstantinos Zografos
Keyword(s):  
Asymptotic Properties ◽  
Wald Test ◽  
Composite Likelihood ◽  
Test Statistics ◽  
Test Statistic ◽  
Density Power Divergence ◽  
Minimum Density ◽  
New Family ◽  
Robust Version ◽  
Power Divergence

In this paper a robust version of the Wald test statistic for composite likelihood is considered by using the composite minimum density power divergence estimator instead of the composite maximum likelihood estimator. This new family of test statistics will be called Wald-type test statistics. The problem of testing a simple and a composite null hypothesis is considered and the robustness is studied on the basis of a simulation study. Previously, the composite minimum density power divergence estimator is introduced and its asymptotic properties are studied.

Minimum density power divergence estimator for GARCH models

Test ◽  
2008 ◽  
Vol 18 (2) ◽  
pp. 316-341 ◽  
Author(s):  
Sangyeol Lee ◽  
Junmo Song
Keyword(s):  
Garch Models ◽  
Density Power Divergence ◽  
Minimum Density ◽  
Power Divergence
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