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Modified power divergence estimators in normal models – simulation and comparative study

Iva Frýdlová, Igor Vajda, Václav Kůs (2012)

Kybernetika

Point estimators based on minimization of information-theoretic divergences between empirical and hypothetical distribution induce a problem when working with continuous families which are measure-theoretically orthogonal with the family of empirical distributions. In this case, the φ -divergence is always equal to its upper bound, and the minimum φ -divergence estimates are trivial. Broniatowski and Vajda [3] proposed several modifications of the minimum divergence rule to provide a solution to the...

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