Composite Likelihood Methods Based on Minimum Density Power Divergence Estimator
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...
| Autores: | , , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2017 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/19117 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/19117 |
| Access Level: | acceso abierto |
| Palabra clave: | 519.21 composite likelihood maximum composite likelihood estimator Wald test statistic composite minimum density power divergence estimator Wald-type test statistics Probabilidades Prueba de Wald Matemáticas (Matemáticas) Estadística matemática (Matemáticas) Probabilidades (Matemáticas) 12 Matemáticas 1209 Estadística |
| Sumario: | 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. |
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