Influence analysis of robust Wald-type tests

Influence analysis of robust Wald-type tests

We consider a robust version of the classical Wald test statistics for testing simple and composite null hypotheses for general parametric models. These test statistics are based on the minimum density power divergence estimators instead of the maximum likelihood estimators. An extensive study of their robustness properties is given though the influence functions as well as the chi-square infla...

Robust Wald - Type Tests of One - Sided Hypotheses in the Linear Model

ABSTRACf Let us consider the linear model Y = XO + E in the usual matrix notation, where the errors are independent and identically distributed. Our main objective is to develop robust Wald-type tests for a large class of hypotheses on OJ by 'robust' we mean robustness in terms of size and power against long tailed error distributions. First, assume that the error distribution is symmetric abou...

Small-sample adjustments for Wald-type tests using sandwich estimators.

The sandwich estimator of variance may be used to create robust Wald-type tests from estimating equations that are sums of K independent or approximately independent terms. For example, for repeated measures data on K individuals, each term relates to a different individual. These tests applied to a parameter may have greater than nominal size if K is small, or more generally if the parameter t...

Wald tests of singular hypotheses

Motivated by the problem of testing tetrad constraints in factor analysis, we study the large-sample distribution of Wald statistics at parameter points at which the gradient of the tested constraint vanishes. When based on an asymptotically normal estimator, the Wald statistic converges to a rational function of a normal random vector. The rational function is determined by a homogeneous polyn...

Generalised Score and Wald Tests