Skip Navigation

Biometrika 2001 88(3):865-873; doi:10.1093/biomet/88.3.865
© 2001 by Biometrika Trust
This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Jones, M. C.
Right arrow Articles by Basu, A.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Miscellaneous

A comparison of related density-based minimum divergence estimators

M.C. Jones1, Nils Lid Hjort2, Ian R.Harris3 and Ayanendranath Basu4

1 Department of Statistics, The Open University, Milton Keynes, MK7 6AA, U.Km.c.jones{at}open.ac.uk 2 Department of Mathematics, University of Oslo, P.B.1053 Blindern, N-0316 Oslo, Norway. nils{at}math.uio.no 3 Department of Statistical Science, Southern Methodist University, Dallas, Texas 75275-0332, U.S.A. iharris{at}mail.smu.edu 4 Applied Statistics Unit, Indian Statistical Institute, 203 Barrackpore Trunk Road, Calcutta 700 035, India. ayanbasu{at}isical.ac.in

This paper compares the minimum divergence estimator of Basu et al.(1998) to a competing minimum divergence estimator which turns out to be equivalent to a method proposed from a different perspective by Windham (1995). Both methods can be applied for any parametric model and contain maximum likelihood as a special case. Efficiencies are compared under model conditions, and robustness properties are studied. Overall the two methods are found to perform quite similarly. Some relatively small advantages of the former method over the latter are identified.

Key Words: Asymptotic relative efficiency; Divergence; Influence function; Maximum likelihood; M-estimation; Robustness

Received August 2000. Revised December 2000


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer: Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.