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Influence Analysis of Robust Wald-type Tests

Statistics Theory 2016-07-04 v4 Methodology Statistics Theory

Abstract

We consider a robust version of the classical Wald test statistics for testing simple and composite null hypotheses for general parametric models. These test statistics are based on the minimum density power divergence estimators instead of the maximum likelihood estimators. An extensive study of their robustness properties is given though the influence functions as well as the chi-square inflation factors. It is theoretically established that the level and power of these robust tests are stable against outliers, whereas the classical Wald test breaks down. Some numerical examples confirm the validity of the theoretical results.

Keywords

Cite

@article{arxiv.1406.6519,
  title  = {Influence Analysis of Robust Wald-type Tests},
  author = {Abhik Ghosh and Abhijit Mandal and Nirian Martin and Leandro Pardo},
  journal= {arXiv preprint arXiv:1406.6519},
  year   = {2016}
}

Comments

36 pages

R2 v1 2026-06-22T04:46:45.239Z