Another look at the Tail Area Influence Function |
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Authors: | A. García-Pérez |
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Affiliation: | 1.Departamento de Estadística, Investigación Operativa y Cálculo Numérico,Universidad Nacional de Educación a Distancia (UNED),Madrid,Spain |
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Abstract: | A new way of computing the Tail Area Influence Function (TAIF) exactly is proposed and a new finite sample robustness measure, based on the TAIF, is introduced. The main properties of this robustness measure are also studied, for both finite and asymptotic sample sizes. Next, a very accurate approximation to the finite sample power function of a test is obtained; this is based on the TAIF plus an iterative procedure. The results are valid when there are no nuisance parameters. |
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