UNIGE document Report
previous document  unige:6510  next document
add to browser collection
Title

Choosing between two parametric models robustly

Author
Publication London School of Economics, 1995
Abstract In this paper we propose a robust version of Cox-type test statistics for the choice between two non-nested 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 available in the literature and show that the level of the robust test is stable. Finally, we show numerically not only the good property of 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.
Keywords M-estimatorsModel choiceRobust tests
Full text
Report (157 Kb) - public document Free access
Structures
Citation
(ISO format)
VICTORIA-FESER, Maria-Pia. Choosing between two parametric models robustly. 1995 https://archive-ouverte.unige.ch/unige:6510

405 hits

446 downloads

Update

Deposited on : 2010-05-04

Export document
Format :
Citation style :