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http://dx.doi.org/10.5351/KJAS.2014.27.3.397

Minimum Density Power Divergence Estimation for Normal-Exponential Distribution  

Pak, Ro Jin (Department of Applied Statistics, Dankook University)
Publication Information
The Korean Journal of Applied Statistics / v.27, no.3, 2014 , pp. 397-406 More about this Journal
Abstract
The minimum density power divergence estimation has been a popular topic in the field of robust estimation for since Basu et al. (1988). The minimum density power divergence estimator has strong robustness properties with the little loss in asymptotic efficiency relative to the maximum likelihood estimator under model conditions. However, a limitation in applying this estimation method is the algebraic difficulty on an integral involved in an estimation function. This paper considers a minimum density power divergence estimation method with approximated divergence avoiding such difficulty. As an example, we consider the normal-exponential convolution model introduced by Bolstad (2004). The estimated divergence in this case is too complicated; consequently, a Laplace approximation is employed to obtain a manageable form. Simulations and an empirical study show that the minimum density power divergence estimators based on an approximated estimated divergence for the normal-exponential model perform adequately in terms of bias and efficiency.
Keywords
Efficiency; Laplace approximation; microarray; robustness;
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