Statistical inference based on bridge divergences

DOI10.1007/S10463-018-0665-XzbMATH Open1421.62031arXiv1706.05745OpenAlexW2964336325WikidataQ129794659 ScholiaQ129794659MaRDI QIDQ2000745FDOQ2000745

Arun Kumar Kuchibhotla, Somabha Mukherjee, Ayanendranath Basu

Publication date: 28 June 2019

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Abstract: M-estimators offer simple robust alternatives to the maximum likelihood estimator. Much of the robustness literature, however, has focused on the problems of location, location-scale and regression estimation rather than on estimation of general parameters. The density power divergence (DPD) and the logarithmic density power divergence (LDPD) measures provide two classes of competitive M-estimators (obtained from divergences) in general parametric models which contain the MLE as a special case. In each of these families, the robustness of the estimator is achieved through a density power down-weighting of outlying observations. Both the families have proved to be very useful tools in the area of robust inference. However, the relation and hierarchy between the minimum distance estimators of the two families are yet to be comprehensively studied or fully established. Given a particular set of real data, how does one choose an optimal member from the union of these two classes of divergences? In this paper, we present a generalized family of divergences incorporating the above two classes; this family provides a smooth bridge between the DPD and the LDPD measures. This family helps to clarify and settle several longstanding issues in the relation between the important families of DPD and LDPD, apart from being an important tool in different areas of statistical inference in its own right.

Full work available at URL: https://arxiv.org/abs/1706.05745

zbMATH Keywords

robustness\(M\)-estimatorsdivergence

Mathematics Subject Classification ID

Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

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Cited In (3)

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• Robust density power divergence estimates for panel data models
• A unified approach to the Pythagorean identity and projection theorem for a class of divergences based on M-estimations

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