Indexed on: 18 May '20Published on: 09 Jul '19Published in: Statistical Papers
This paper is aimed to present a robust extension of the classical Rao test statistic, in the context of composite likelihood ideas and methods. The Rao-type test statistics are defined on the basis of the composite minimum power divergence estimators instead of the composite maximum likelihood estimator. These Rao-type test statistics are used to test simple and composite null hypotheses. Their performance is evaluated in terms of a simulation study which concentrates to the robustness and the comparison of the Rao-type tests with the respective Wald-type tests considered in Castilla et al. (Entropy 20:18, 2018). The proposed here procedures are developed on the basis of the restricted composite minimum density power divergence estimators which are also discussed for the sake of completeness.