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On measuring sensitivity to parametric model misspecification
Author(s) -
Gustafson Paul
Publication year - 2001
Publication title -
journal of the royal statistical society: series b (statistical methodology)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 6.523
H-Index - 137
eISSN - 1467-9868
pISSN - 1369-7412
DOI - 10.1111/1467-9868.00277
Subject(s) - parametric statistics , sensitivity (control systems) , inference , parametric model , measure (data warehouse) , econometrics , mathematics , sample (material) , distribution (mathematics) , statistics , sample size determination , computer science , physics , artificial intelligence , data mining , electronic engineering , engineering , mathematical analysis , thermodynamics
In settings where parametric inference is inconsistent under model misspecification, the discrepancy between correct and misspecified inferences is compared with the discrepancy between correct and misspecified models. To make the comparison tractable, large sample and small misspecification approximations are employed. The ratio of the approximate discrepancy between inferences to the approximate discrepancy between models is regarded as a relative measure of sensitivity to model misspecification. The maximum ratio over a family of correct distributions is determined as a measure of worst case sensitivity. As well, the distribution producing this maximum can be examined, to see how a particular combination of a parametric family and estimand is susceptible to model misspecifications.