A note on the asymptotic distribution of the minimum density power divergence estimator. (English) Zbl 1268.62020

Juárez, Sergio F.; Schucany, William R.

Rojo, Javier (ed.), Optimality. The second Erich L. Lehmann symposium. Selected papers based on the presentations at the symposium, Houston, TX, USA, May 19–22, 2004. Beachwood, OH: IMS, Institute of Mathematical Statistics (ISBN 978-0-940600-66-9/pbk). Institute of Mathematical Statistics Lecture Notes - Monograph Series 49, 334-339 (2006).

Summary: We establish consistency and asymptotic normality of the minimum density power divergence estimator under regularity conditions different from those originally provided by A. Basu et al. [Biometrika 85, No. 3, 549–559 (1998; Zbl 0926.62021)].
For the entire collection see [Zbl 1113.62002].

MSC:

62E20	Asymptotic distribution theory in statistics
62G07	Density estimation
62G20	Asymptotic properties of nonparametric inference

Keywords:

consistency; efficiency; M-estimators; minimum distance; large sample theory; robustness

Citations:

Zbl 0926.62021