Generalized Wald-type tests based on minimum density power divergence estimators

In testing of hypothesis, the robustness of the tests is an important concern. Generally, the maximum likelihood-based tests are most efficient under standard regularity conditions, but they are highly non-robust even under small deviations from the assumed conditions. In this paper, we have proposed generalized Wald-type tests based on minimum density power divergence estimators for parametric hypotheses. This method avoids the use of nonparametric density estimation and the bandwidth selection. The trade-off between efficiency and robustness is controlled by a tuning parameter . The asymptotic distributions of the test statistics are chi-square with appropriate degrees of freedom. The performance of the proposed tests is explored through simulations and real data analysis.

density power divergence; robustness; tests of hypotheses; likelihood ratio tests; nonstandard conditions; hypotheses; robust

Generalized Wald-type tests based on minimum density power divergence estimators Articles