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Minimum [phi]-divergence estimation in misspecified multinomial models

By M.D. Jiménez-Gamero, R. Pino-Mejías, V. Alba-Fernández and J.L. Moreno-Rebollo

Abstract

The consequences of model misspecification for multinomial data when using minimum [phi]-divergence or minimum disparity estimators to estimate the model parameters are considered. These estimators are shown to converge to a well-defined limit. Two applications of the results obtained are considered. First, it is proved that the bootstrap consistently estimates the null distribution of certain class of test statistics for model misspecification detection. Second, an application to the model selection test problem is studied. Both applications are illustrated with numerical examples.Minimum phi-divergence estimator Consistency Asymptotic normality Goodness-of-fit Bootstrap distribution estimator Model selection

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