Power and Level Robustness of A Composite Hypothesis Testing under Independent Non-Homogeneous Data

Abstract: Robust tests of general composite hypothesis under non-identically distributed observations is always a challenge. Ghosh and Basu (2018, Statistica Sinica, 28, 1133--1155) have proposed a new class of test statistics for such problems based on the density power divergence, but their robustness with respect to the size and power are not studied in detail. This note fills this gap by providing a rigorous derivation of power and level influence functions of these tests to theoretically justify their robustness. Applications to the fixed-carrier linear regression model are also provided with empirical illustrations.