Influence analysis of robust Wald-type tests
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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.
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Cited in
(30)- A Hausman-type test to detect the presence of influential outliers in regression analysis
- A robust Wald-type test for testing the equality of two means from log-normal samples
- Robust Wald-type methods for testing equality between two populations regression parameters: a comparative study under the logistic model
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- Robust Bounded-Influence Tests in General Parametric Models
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