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Composite likelihood methods: Rao-type tests based on composite minimum density power divergence estimator

Research paper by E. Castilla, N. Martín, L. Pardo, K. Zografos

Indexed on: 18 May '20Published on: 09 Jul '19Published in: Statistical Papers



Abstract

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.