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A Robust Generalization of the Rao Test
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A Robust Generalization of the Rao Test

Abstract

This paper presents new families of Rao-type test statistics based on the minimum density power divergence estimators which provide robust generalizations for testing simple and composite null hypotheses. The asymptotic null distributions of the proposed tests are obtained and their robustness properties are also theoretically studied. Numerical illustrations are provided to substantiate the theory developed. On the whole, the proposed tests are seen to be excellent alternatives to the classical Rao test.

Authors

Basu A; Ghosh A; Martin N; Pardo L

Publication date

August 26, 2019

DOI

10.48550/arxiv.1908.09794

Preprint server

arXiv

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