TY - JOUR
T1 - Minimum disparity estimation based on combined disparities
T2 - Asymptotic results
AU - Mandal, Abhijit
AU - Bhandari, S. K.
AU - Basu, A.
PY - 2011/2
Y1 - 2011/2
N2 - The maximum likelihood estimator (MLE) is asymptotically efficient for most parametric models under standard regularity conditions, but it has very poor robustness properties. On the other hand some of the minimum disparity estimators like the minimum Hellinger distance estimator (MHDE) have strong robustness features but their small sample efficiency at the model turns out to be very poor compared to the MLE. Methods based on the minimization of some combined disparities can substantially improve their small sample performances without affecting their robustness properties (Park et al., 1995). All studies involving the combined disparity have so far been empirical, and there are no results on the asymptotic properties of these estimators. In view of the usefulness of these procedures this is a major gap in theory, which we try to fill through the present work. Some illustrations of the performance of the estimators and the corresponding tests are also provided.
AB - The maximum likelihood estimator (MLE) is asymptotically efficient for most parametric models under standard regularity conditions, but it has very poor robustness properties. On the other hand some of the minimum disparity estimators like the minimum Hellinger distance estimator (MHDE) have strong robustness features but their small sample efficiency at the model turns out to be very poor compared to the MLE. Methods based on the minimization of some combined disparities can substantially improve their small sample performances without affecting their robustness properties (Park et al., 1995). All studies involving the combined disparity have so far been empirical, and there are no results on the asymptotic properties of these estimators. In view of the usefulness of these procedures this is a major gap in theory, which we try to fill through the present work. Some illustrations of the performance of the estimators and the corresponding tests are also provided.
KW - Asymptotic distribution
KW - Combined disparity
KW - Minimum disparity estimator
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U2 - 10.1016/j.jspi.2010.07.017
DO - 10.1016/j.jspi.2010.07.017
M3 - Article
AN - SCOPUS:77955411877
VL - 141
SP - 701
EP - 710
JO - Journal of Statistical Planning and Inference
JF - Journal of Statistical Planning and Inference
SN - 0378-3758
IS - 2
ER -