摘要：In real life we often have to deal with situations where the sampled observations are independent and share common parameters in their distribution but are not identically distributed. While the methods based on maximum likelihood provide canonical approaches for doing statistical inference in such contexts, it carries with it the usual baggage of lack of robustness to small deviations from the assumed conditions. In the present paper we develop a general estimation method for handling such situations based on a minimum distance approach which exploits the robustness properties of the density power divergence measure (Basu et al. 1998 [2]). We establish the asymptotic properties of the proposed estimators, and illustrate the benefits of our method in case of linear regression.
关键词：Density power divergence;robustness;linear regression.
