Local score test for the mixing proportion for the contaminated elliptical distributions

Amadou Sarr, Arjun K. Gupta

Research output: Contribution to journalArticle

Abstract

In this paper, we introduce a new subclass of elliptical distributions, namely the ε- contaminated elliptical distributions. These distributions are obtained by using the method of mixture. It may be viewed as a generalization of the well-known ε-contaminated normal distributions. A local score test for the mixing proportion ε is explicitly described, and exact distribution of the test statistic is derived for some examples. Further it is established that the test statistic under the normality assumption remains robust under some specific elliptical distributions.

Original languageEnglish
Pages (from-to)31-41
Number of pages11
JournalPanamerican Mathematical Journal
Volume21
Issue number3
Publication statusPublished - Jul 2011

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Keywords

  • ε-contaminated elliptical distributions
  • ε-contaminated normal distributions
  • Local score test
  • Method of mixture

ASJC Scopus subject areas

  • Mathematics(all)

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