A comparison of related density-based minimum divergence estimators

• 成果类型: Article
• 署名作者: Jones, MC; Hjort, NL; Harris, IR; Basu, A
• 署名单位: Open University - UK; University of Oslo; Southern Methodist University; Indian Statistical Institute; Indian Statistical Institute Kolkata
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/88.3.865
• 发表日期: 2001
• 页码: 865873
• 关键词: INVERSE PROBLEMS; entropy; robust; MODEL

摘要

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.