Composite Likelihood Methods Based on Minimum Density Power Divergence Estimator

被引：6

作者：

Castilla, Elena ^{[1
]}

Martin, Nirian ^{[2
]}

Pardo, Leandro ^{[1
]}

Zografos, Konstantinos ^{[3
]}

机构：

[1] Univ Complutense Madrid, Dept Stat & OR 1, Madrid 28040, Spain

[2] Univ Complutense Madrid, Dept Stat & OR 2, Madrid 28003, Spain

[3] Univ Ioannina, Dept Math, GR-45110 Ioannina, Greece

来源：

ENTROPY | 2018年 / 20卷 / 01期

关键词：

composite likelihood; maximum composite likelihood estimator; Wald test statistic; composite minimum density power divergence estimator; Wald-type test statistics; ROBUST;

D O I：

10.3390/e20010018

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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. The composite minimum density power divergence estimator is also introduced, and its asymptotic properties are studied.

引用

页数：20

共 50 条

[1] Composite likelihood methods: Rao-type tests based on composite minimum density power divergence estimator
Castilla, E.
Martin, N.
Pardo, L.
Zografos, K.
STATISTICAL PAPERS, 2021, 62 (02) : 1003 - 1041
[2] Composite likelihood methods: Rao-type tests based on composite minimum density power divergence estimator
E. Castilla
N. Martín
L. Pardo
K. Zografos
Statistical Papers, 2021, 62 : 1003 - 1041
[3] Minimum density power divergence estimator for diffusion processes
Sangyeol Lee
Junmo Song
Annals of the Institute of Statistical Mathematics, 2013, 65 : 213 - 236
[4] Minimum density power divergence estimator for GARCH models
Lee, Sangyeol
Song, Junmo
TEST, 2009, 18 (02) : 316 - 341
[5] Minimum density power divergence estimator for diffusion processes
Lee, Sangyeol
Song, Junmo
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2013, 65 (02) : 213 - 236
[6] Minimum density power divergence estimator for GARCH models
Sangyeol Lee
Junmo Song
TEST, 2009, 18 : 316 - 341
[7] Minimum density power divergence estimator for Poisson autoregressive models
Kang, Jiwon
Lee, Sangyeol
COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2014, 80 : 44 - 56
[8] Model Selection in a Composite Likelihood Framework Based on Density Power Divergence
Castilla, Elena
Martin, Nirian
Pardo, Leandro
Zografos, Konstantinos
ENTROPY, 2020, 22 (03)
[9] Minimum density power divergence estimator for covariance matrix based on skew t distribution
Kim, Byungsoo
Lee, Sangyeol
STATISTICAL METHODS AND APPLICATIONS, 2014, 23 (04): : 565 - 575
[10] Robust maximum entropy test for GARCH models based on a minimum density power divergence estimator
Kim, Byungsoo
ECONOMICS LETTERS, 2018, 162 : 93 - 97

← 1 2 3 4 5 →