UNIGE document Scientific Article
previous document  unige:22956  next document
add to browser collection
Title

A Robust Test for Non-nested Hypotheses

Author
Published in Journal of the Royal Statistical Society. B, Statistical Methodology. 1997, vol. 59, no. 3, p. 715-727
Abstract We propose a robust version of Cox-type test statistics for the choice between two nonnested hypotheses. We first show that the influence of small amounts of contamination in the data on the test decision can be very large. Secondly, we build a robust test statistic by using the results on robust parametric tests that are available in the literature and show that the level of the robust test is stable. Finally, we show numerically not only the robustness of this new test statistic but also that its asymptotic distribution is a good approximation of its sample distribution, unlike for the classical test statistic. We apply our results to the choice between a Pareto and an exponential distribution as well as between two competing regressors in the simple linear regression model without intercept.
Keywords Linear RegressionM-estimatorsModel ChoicePareto DistributionRobust tests
Identifiers
Full text
This document has no fulltext available yet, but you can contact its author by using the form below.
Structures
Citation
(ISO format)
VICTORIA-FESER, Maria-Pia. A Robust Test for Non-nested Hypotheses. In: Journal of the Royal Statistical Society. B, Statistical Methodology, 1997, vol. 59, n° 3, p. 715-727. doi: 10.1111/1467-9868.00093 https://archive-ouverte.unige.ch/unige:22956

346 hits

0 download

Update

Deposited on : 2012-09-18

Export document
Format :
Citation style :