Minimum Empirical -Divergence Estimationand Inference
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Utilizing the concept of unbiased estimating functions combined with the concept of -divergence of Csiszár (1963), we introduce the method of minimum empirical -divergence estimation and inference, which can be thought of as a generalization of empirical likelihood method of Owen (1988) and Qin and Lawless (1994). Efficiency results for estimators are obtained. Given the parallels with the conventional likelihood, classical-type tests based on the empirical -divergence for a simple parametric hypothesis and the moment conditions are constructed.
Abstract
Utilizing the concept of unbiased estimating functions combined with the concept of -divergence of Csiszár (1963), we introduce the method of minimum empirical -divergence estimation and inference, which can be thought of as a generalization of empirical likelihood method of Owen (1988) and Qin and Lawless (1994). Efficiency results for estimators are obtained. Given the parallels with the conventional likelihood, classical-type tests based on the empirical -divergence for a simple parametric hypothesis and the moment conditions are constructed.
참고문헌 (26)
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