A New Family of Divergences Originating From Model Adequacy Tests and Application to Robust Statistical Inference

DOI10.1109/TIT.2018.2794537MaRDI QIDQ4682863zbMATH OpenOpenAlexFDO

Authors Abhik Ghosh, Ayanendranath Basu

Publication date 19 September 2018

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1611.05224

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Measures of information, entropy (94A17)

Abstract: Minimum divergence methods are popular tools in a variety of statistical applications. We consider tubular model adequacy tests, and demonstrate that the new divergences that are generated in the process are very useful in robust statistical inference. In particular we show that the family of $S$-divergences can be alternatively developed using the tubular model adequacy tests; a further application of the paradigm generates a larger superfamily of divergences. We describe the properties of this larger class and its potential applications in robust inference. Along the way, the failure of the first order influence function analysis in capturing the robustness of these procedures is also established.

Cited in

(5)

• Robust statistical inference based on the \(C\)-divergence family
• Improvements in the small sample efficiency of the minimum S-divergence estimators under discrete models
• Bivariate Kullback–Leibler divergence
• Robustifying Likelihoods by Optimistically Re-weighting Data
• On robustness of statistical inference based on the logarithmic super divergence family

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