# Statistical Inference based on Bridge Divergences

## TL;DR

This paper introduces a generalized divergence family that smoothly connects the density power divergence and the logarithmic density power divergence, enhancing robust statistical inference and clarifying their relationship.

## Contribution

It develops a unified divergence framework bridging DPD and LDPD, resolving longstanding questions about their hierarchy and optimal selection in data analysis.

## Key findings

- Provides a new family of divergences linking DPD and LDPD
- Clarifies the hierarchy and relation between the two divergence families
- Offers a tool for improved robust inference in statistical models

## Abstract

M-estimators offer simple robust alternatives to the maximum likelihood estimator. Much of the robustness literature, however, has focused on the problems of location, location-scale and regression estimation rather than on estimation of general parameters. The density power divergence (DPD) and the logarithmic density power divergence (LDPD) measures provide two classes of competitive M-estimators (obtained from divergences) in general parametric models which contain the MLE as a special case. In each of these families, the robustness of the estimator is achieved through a density power down-weighting of outlying observations. Both the families have proved to be very useful tools in the area of robust inference. However, the relation and hierarchy between the minimum distance estimators of the two families are yet to be comprehensively studied or fully established. Given a particular set of real data, how does one choose an optimal member from the union of these two classes of divergences? In this paper, we present a generalized family of divergences incorporating the above two classes; this family provides a smooth bridge between the DPD and the LDPD measures. This family helps to clarify and settle several longstanding issues in the relation between the important families of DPD and LDPD, apart from being an important tool in different areas of statistical inference in its own right.