ROBUST INFERENCE IN COMPOSITE TRANSFORMATION MODELS

This paper focuses on robust inference on the shape parameter of a composite transformation model. Large sample robust tests and confidence intervals are derived from a quasi profile likelihood ratio statistic. This statistic is obtained from a suitable bounded profile estimating function, which defines a robust estimator for the shape parameter, while the remaining parameters of the model are treated as nuisance. This test has desirable robustness properties and leads to more reliable inference then the classical robust Wald test statistic.