Robust estimation for independent non-homogeneous observations using density power divergence with applications to linear regression

DOI10.1214/13-EJS847zbMATH Open1349.62087arXiv1502.01106OpenAlexW3099262850MaRDI QIDQ372131FDOQ372131

Authors: Abhik Ghosh, Ayanendranath Basu 

Publication date: 14 October 2013

Published in: STATISTICA SINICA, Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: Experiments often yield non-identically distributed data for statistical analysis. Tests of hypothesis under such set-ups are generally performed using the likelihood ratio test, which is non-robust with respect to outliers and model misspecification. In this paper, we consider the set-up of non-identically but independently distributed observations and develop a general class of test statistics for testing parametric hypothesis based on the density power divergence. The proposed tests have bounded influence functions, are highly robust with respect to data contamination, have high power against contiguous alternatives, and are consistent at any fixed alternative. The methodology is illustrated by the simple and generalized linear regression models with fixed covariates.

Full work available at URL: https://arxiv.org/abs/1502.01106

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zbMATH Keywords

generalized linear modellinear regressionrobustnessinfluence functiondensity power divergencenon-homogeneous observationrobust testing of hypothesis

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Generalized linear models (logistic models) (62J12) Robustness and adaptive procedures (parametric inference) (62F35)

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Cited In (62)

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• Robust estimation of average treatment effects from panel data
• Robust inference for non-linear regression models from the Tsallis score: application to coronavirus disease 2019 Contagion in Italy
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• Robust and efficient estimation in the parametric proportional hazards model under random censoring

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