On the ‘optimal’ density power divergence tuning parameter Article Swipe
Sancharee Basak
,
Ayanendranath Basu
,
M. C. Jones
·
YOU?
·
· 2020
· Open Access
·
· DOI: https://doi.org/10.1080/02664763.2020.1736524
YOU?
·
· 2020
· Open Access
·
· DOI: https://doi.org/10.1080/02664763.2020.1736524
The density power divergence, indexed by a single tuning parameter α, has proved to be a very useful tool in minimum distance inference. The family of density power divergences provides a generalized estimation scheme which includes likelihood-based procedures (represented by choice α=0 for the tuning parameter) as a special case. However, under data contamination, this scheme provides several more stable choices for model fitting and analysis (provided by positive values for the tuning parameter α). As larger values of α necessarily lead to a drop in model efficiency, determining the optimal value of α to provide the best compromise between model-efficiency and stability against data contamination in any real situation is a major challenge. In this paper, we provide a refinement of an existing technique with the aim of eliminating the dependence of the procedure on an initial pilot estimator. Numerical evidence is provided to demonstrate the very good performance of the method. Our technique has a general flavour, and we expect that similar tuning parameter selection algorithms will work well for other M-estimators, or any robust procedure that depends on the choice of a tuning parameter.
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- Type
- article
- Language
- en
- Landing Page
- https://doi.org/10.1080/02664763.2020.1736524
- OA Status
- green
- Cited By
- 64
- References
- 16
- Related Works
- 10
- OpenAlex ID
- https://openalex.org/W3010902293
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https://openalex.org/W3010902293Canonical identifier for this work in OpenAlex
- DOI
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https://doi.org/10.1080/02664763.2020.1736524Digital Object Identifier
- Title
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On the ‘optimal’ density power divergence tuning parameterWork title
- Type
-
articleOpenAlex work type
- Language
-
enPrimary language
- Publication year
-
2020Year of publication
- Publication date
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2020-03-13Full publication date if available
- Authors
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Sancharee Basak, Ayanendranath Basu, M. C. JonesList of authors in order
- Landing page
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https://doi.org/10.1080/02664763.2020.1736524Publisher landing page
- Open access
-
YesWhether a free full text is available
- OA status
-
greenOpen access status per OpenAlex
- OA URL
-
https://figshare.com/articles/On_the_optimal_density_power_divergence_tuning_parameter/11985192Direct OA link when available
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Estimator, Divergence (linguistics), Mathematical optimization, Estimation theory, Inference, Computer science, Parameter space, Stability (learning theory), Mathematics, Applied mathematics, Algorithm, Statistics, Linguistics, Artificial intelligence, Machine learning, PhilosophyTop concepts (fields/topics) attached by OpenAlex
- Cited by
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64Total citation count in OpenAlex
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2025: 11, 2024: 15, 2023: 14, 2022: 10, 2021: 6Per-year citation counts (last 5 years)
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16Number of works referenced by this work
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10Other works algorithmically related by OpenAlex
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