Several applications of divergence criteria in continuous families

zbMATH Open1318.62013arXiv0911.0937MaRDI QIDQ2919488FDOQ2919488

Authors: M. Broniatowski, Igor Vajda 

Publication date: 2 October 2012

Published in: Kybernetika (Search for Journal in Brave)

Abstract: This paper deals with four types of point estimators based on minimization of information-theoretic divergences between hypothetical and empirical distributions. These were introduced (i) by Liese & Vajda (2006) and independently Broniatowski & Keziou (2006), called here power superdivergence estimators, (ii) by Broniatowski & Keziou (2009), called here power subdivergence estimators, (iii) by Basu et al. (1998), called here power pseudodistance estimators, and (iv) by Vajda (2008) called here Renyi pseudodistance estimators. The paper studies and compares general properties of these estimators such as consistency and influence curves, and illustrates these properties by detailed analysis of the applications to the estimation of normal location and scale.

Full work available at URL: https://arxiv.org/abs/0911.0937

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zbMATH Keywords

parametric estimationrobustnessdivergence

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

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Cited In (24)

• Shape constrained density estimation via penalized Rényi divergence
• Minimum divergence estimators, maximum likelihood and exponential families
• Implications of the Cressie-Read family of additive divergences for information recovery
• Some universal insights on divergences for statistics, machine learning and artificial intelligence
• Dual divergences estimation for censored survival data
• Decomposable pseudodistances and applications in statistical estimation
• The logarithmic super divergence and asymptotic inference properties
• Dual divergence estimators and tests: robustness results
• Limits of Bayesian decision related quantities of binomial asset price models
• General bootstrap for dual \(\phi\)-divergence estimates
• Divergences in parametric setting without smoothing or grouping
• Robust statistical inference based on the \(C\)-divergence family
• Projection theorems and estimating equations for power-law models
• Least informative distributions in maximum \(q\)-log-likelihood estimation
• Towards a better understanding of the dual representation of phi divergences
• A unified approach to the Pythagorean identity and projection theorem for a class of divergences based on M-estimations
• On Bayesian estimation via divergences
• Modified power divergence estimators in normal models -- simulation and comparative study
• Several applications of divergence criteria in continuous families
• Robust mean variance optimization problem under Rényi divergence information
• Consistency of minimum divergence estimators based on grouped data
• A generalized divergence for statistical inference
• A Weighted Bootstrap Procedure for Divergence Minimization Problems
• On robustness of model selection criteria based on divergence measures: Generalizations of BHHJ divergence-based method and comparison

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