Divergences and duality for estimation and test under moment condition models

DOI10.1016/j.jspi.2012.03.013zbMath1253.62016arXiv1002.0730OpenAlexW2964202932MaRDI QIDQ447621

Michel Broniatowski, Amor Keziou

Publication date: 4 September 2012

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.0730

zbMATH Keywords

efficiencydualityempirical likelihoodpower functiongeneralized empirical likelihooddivergence projectionminimum divergence

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05)

Related Items

A Weighted Bootstrap Procedure for Divergence Minimization Problems ⋮ Empirical phi-divergence test statistics for the difference of means of two populations ⋮ Empirical phi-divergence test statistics for testing simple and composite null hypotheses ⋮ Robustness of dual divergence estimators for models satisfying linear constraints ⋮ Empirical likelihood with censored data ⋮ Testing with exponentially tilted empirical likelihood ⋮ Robust estimation with exponentially tilted Hellinger distance ⋮ Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors ⋮ Semiparametrically efficient estimation of Euclidean parameters under equality constraints ⋮ Bayesian Estimation and Comparison of Moment Condition Models ⋮ Robust empirical likelihood

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models
• Empirical likelihood ratio confidence regions
• Empirical likelihood in some semiparametric models
• Parametric estimation and tests through divergences and the duality technique
• Robust tests based on dual divergence estimators and saddlepoint approximations
• Point estimation with exponentially tilted empirical likelihood
• Extending the scope of empirical likelihood
• Adjustment by minimum discriminant information
• Empirical likelihood for linear models
• Empirical likelihood and general estimating equations
• Dual representation of \(\phi\)-divergences and applications.
• An extension of quasi-likelihood estimation
• GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
• Minimization of φ-divergences on sets of signed measures
• Empirical likelihood ratio confidence intervals for a single functional
• Empirical likelihood as a goodness-of-fit measure
• Asymptotic Statistics
• Miscellanea. Bartlett adjustment of empirical discrepancy statistics
• One-Step Estimators for Over-Identified Generalized Method of Moments Models
• Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions
• Empirical likelihood estimation for finite populations and the effective usage of auxiliary information
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Maximum Likelihood Estimation of Misspecified Models