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High-order asymptotic expansions for robust tests

De Rossi, François-Xavier ; Gatto, Riccardo

In: Biometrika, 2001, vol. 88, no. 4, p. 1153-1168

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    Titel
    • High-order asymptotic expansions for robust tests
    Autor
    • De Rossi, François-Xavier. Swiss Federal Statistical Office, 2010 Neuchâtel, Switzerland
    • Gatto, Riccardo. Institut fuür Mathematische Statistik und Versicherungslehre, University of Bern, Sidlerstrasse 5, 3012 Bern, Switzerland
    Dokumententyp
    • Postprint
    Sprache
    • Englisch
    Veröffentlicht in
    • Biometrika, 2001, vol. 88, no. 4, p. 1153-1168. Oxford University Press
    Andere elektronische Ausgabe
    OAI-PMH-ID
    • oai:doc.rero.ch:295856
    Summary
    This paper provides high-order asymptotic expansions for the M-ratio and the signed-root M-ratio robust test statistics, which allow one to compute accurate approximations to significance or critical values using the Edgeworth approximation, the Bartlett correction, the variance correction or the saddlepoint approximation. Specific results are obtained for the linear regression model with the Huber M-estimator. A Monte Carlo study illustrates the numerical accuracy of these approximations, with respect to the usual first-order approximations