A Comparison of related density-based minimum divergence estimators

Jones, M.C.; Hjort, N.L.; Harris, I.R. and Basu, A. (2001). A Comparison of related density-based minimum divergence estimators. Biometrika, 88(3) pp. 865–873.

DOI: https://doi.org/10.1093/biomet/88.3.865


This paper compares the minimum divergence estimator of Basu et al. (1998) to a competing minimum divergence estimator which turns out to be equivalent to a method proposed from a different perspective by Windham (1995). Both methods can be applied for any parametric model and contain maximum likelihood as a special case. Efficiencies are compared under model conditions, and robustness properties are studied. Overall the two methods are found to perform quite similarly. Some relatively small advantages of the former method over the latter are identified.

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