Fast indirect robust generalized method of moments

DOI10.1016/j.csda.2009.03.021zbMath1453.62142OpenAlexW2154159030MaRDI QIDQ961820

Sébastien Loisel, Marina Takane

Publication date: 1 April 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2009.03.021

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Extrapolation Methods for Vector Sequences
• Robust Indirect Inference
• Robust inference with GMM estimators
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations