A MINIMUM DISTANCE ESTIMATOR FOR PARTIALLY OBSERVED LINEAR STOCHASTIC SYSTEMS

1996 ◽  
Vol 14 (4) ◽  
Author(s):  
Pierre Bertrand ◽  
Yury A. Kutoyants
Keyword(s):  
Minimum Distance ◽  
Stochastic Systems ◽  
Minimum Distance Estimator ◽  
Partially Observed ◽  
Linear Stochastic Systems ◽  
Distance Estimator

scholarly journals Asymptotic Distribution of Cramer-von Mises Statistic When Contamination Exists

2015 ◽  
Vol 5 (1) ◽  
pp. 90
Author(s):  
Mayumi Naka ◽  
Ritei Shibata
Keyword(s):  
Maximum Likelihood ◽  
Asymptotic Distribution ◽  
Minimum Distance ◽  
Goodness Of Fit ◽  
Likelihood Estimator ◽  
Goodness Of Fit Test ◽  
Minimum Distance Estimator ◽  
Von Mises Statistic ◽  
Von Mises ◽  
Distance Estimator

In this paper, asymptotic distribution of Cram\'er-von Mises goodness-of-fit test statistic is investigated when contamination exists.<br />We first derive the asymptotic distribution of the Cram\'er-von Mises statistic when the observations are contaminated with noise as a mixture.<br />The result is extended to the case where the parameters are estimated by the minimum distance estimator,<br />which minimizes the Cram\'er-von Mises statistic.<br />In both cases the asymptotic distribution of the Cram\'er-von Mises statistic is given by that of the weighted infinite sum of non-central $\chi^2_1$ variables and the effect of contamination appears only in the non-centrality of the variables.<br />We also demonstrate the robustness of the goodness-of-fit test by Monte Carlo simulations when the parameters are estimated<br />by the minimum distance estimator and the maximum likelihood estimator.<br />Numerical experiments indicate that the use of the minimum distance estimator makes the test insensitive to contamination whereas the power is retained almost the same as that of the maximum likelihood estimator.

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