Name
Abstract | ||
|---|---|---|
We introduce estimation and test procedures through divergence optimization for discrete or continuous parametric models. This approach is based on a new dual representation for divergences. We treat point estimation and tests for simple and composite hypotheses, extending the maximum likelihood technique. Another view of the maximum likelihood approach, for estimation and tests, is given. We prove existence and consistency of the proposed estimates. The limit laws of the estimates and test statistics (including the generalized likelihood ratio one) are given under both the null and the alternative hypotheses, and approximations of the power functions are deduced. A new procedure of construction of confidence regions, when the parameter may be a boundary value of the parameter space, is proposed. Also, a solution to the irregularity problem of the generalized likelihood ratio test pertaining to the number of components in a mixture is given, and a new test is proposed, based on @g^2-divergence on signed finite measures and the duality technique. |
Year | DOI | Venue |
|---|---|---|
2009 | 10.1016/j.jmva.2008.03.011 | J. Multivariate Analysis |
Keywords | Field | DocType |
power function,test procedure,parametric test,parametric estimation,new dual representation,duality,mixture,generalized likelihood ratio,point estimation,generalized likelihood ratio test,maximum likelihood technique,new test,62f10,duality technique,62f03,test statistic,ϕ -divergence,maximum likelihood,62f30,new procedure,maximum likelihood approach,boundary valued parameter,parameter space,confidence region,parametric model,limit laws | Econometrics,Score test,Parametric model,Likelihood function,Likelihood-ratio test,Parametric statistics,Estimation theory,Maximum likelihood sequence estimation,Statistics,Mathematics,Likelihood principle | Journal |
Volume | Issue | ISSN |
100 | 1 | Journal of Multivariate Analysis |
Citations | PageRank | References |
23 | 3.26 | 4 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Michel Broniatowski | 1 | 41 | 7.85 |
| Amor Keziou | 2 | 31 | 5.57 |