Minimum phi-divergence estimation in misspecified multinomial models

作者：Jimenez Gamero M D; Pino Mejias R; Alba Fernandez V^*; Moreno Rebollo J L

来源：Computational Statistics & Data Analysis, 2011, 55(12): 3365-3378.

DOI：10.1016/j.csda.2011.06.035

• Minimum phi-divergence estimator
• Consistency
• Asymptotic normality
• Goodness-of-fit
• Bootstrap distribution estimator
• Model selection

The consequences of model misspecification for multinomial data when using minimum phi-divergence or minimum disparity estimators to estimate the model parameters are considered. These estimators are shown to converge to a well-defined limit. Two applications of the results obtained are considered. First, it is proved that the bootstrap consistently estimates the null distribution of certain class of test statistics for model misspecification detection. Second, an application to the model selection test problem is studied. Both applications are illustrated with numerical examples.

• 出版日期2011-12-1