Decomposable pseudodistances and applications in statistical estimation
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Publication:447622
DOI10.1016/J.JSPI.2012.03.019zbMATH Open1253.62013arXiv1104.1541OpenAlexW2964272499MaRDI QIDQ447622FDOQ447622
Igor Vajda, Aida Toma, M. Broniatowski
Publication date: 4 September 2012
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Abstract: The aim of this paper is to introduce new statistical criterions for estimation, suitable for inference in models with common continuous support. This proposal is in the direct line of a renewed interest for divergence based inference tools imbedding the most classical ones, such as maximum likelihood, Chi-square or Kullback Leibler. General pseudodistances with decomposable structure are considered, they allowing to define minimum pseudodistance estimators, without using nonparametric density estimators. A special class of pseudodistances indexed by {alpha}>0, leading for {alpha}downarrow0 to the Kulback Leibler divergence, is presented in detail. Corresponding estimation criteria are developed and asymptotic properties are studied. The estimation method is then extended to regression models. Finally, some examples based on Monte Carlo simulations are discussed.
Full work available at URL: https://arxiv.org/abs/1104.1541
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Cited In (21)
- Pseudo-R 2 statistics under complex sampling
- Influence analysis of robust Wald-type tests
- Testing composite hypothesis based on the density power divergence
- Statistical inference based on bridge divergences
- Robust Wald-type tests based on minimum Rényi pseudodistance estimators for the multiple linear regression model
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- Estimation of entropy-type integral functionals
- Robust variable selection for finite mixture regression models
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- On robustness of model selection criteria based on divergence measures: Generalizations of BHHJ divergence-based method and comparison
- Model selection for independent not identically distributed observations based on Rényi's pseudodistances
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