Large-Deviations Theory and Empirical Estimator Choice Export

@article{grendar:judge:2008, abstract = {In this article, we consider the problem of criterion choice in information recovery and inference in a large-deviations (LD) context. Kitamura and Stutzer recognize that the Maximum Entropy Empirical Likelihood estimator can be given a LD justification (Kitamura and Stutzer, 2002). We demonstrate there exists a similar LD justification for Owen's Empirical Likelihood estimator (Owen, 2001). We tie the two empirical estimators and related LD theorems to two basic ill-posed inverse problems \&agr; and \&b.beta;. We note that other estimators in this family lack an LD footing and provide an extensive discussion of the implications of these results. The appendix contains formal statements regarding relevant LD theorems.}, author = {Grend\'{a}r, Marian and Judge, George}, citeulike-article-id = {2968127}, citeulike-linkout-0 = {http://dx.doi.org/10.1080/07474930801960402}, doi = {10.1080/07474930801960402}, journal = {Econometric Reviews}, keywords = {asymptotics, econometric\_theory, econometrics, empirical\_likelihood}, number = {4}, pages = {513--525}, posted-at = {2008-07-07 02:15:46}, priority = {2}, publisher = {Taylor \& Francis}, title = {Large-Deviations Theory and Empirical Estimator Choice}, url = {http://dx.doi.org/10.1080/07474930801960402}, volume = {27}, year = {2008} }

TY - JOUR ID - grendar:judge:2008 L3 - citeulike-article-id:2968127 N2 - In this article, we consider the problem of criterion choice in information recovery and inference in a large-deviations (LD) context. Kitamura and Stutzer recognize that the Maximum Entropy Empirical Likelihood estimator can be given a LD justification (Kitamura and Stutzer, 2002). We demonstrate there exists a similar LD justification for Owen's Empirical Likelihood estimator (Owen, 2001). We tie the two empirical estimators and related LD theorems to two basic ill-posed inverse problems &agr; and &b.beta;. We note that other estimators in this family lack an LD footing and provide an extensive discussion of the implications of these results. The appendix contains formal statements regarding relevant LD theorems. IS - 4 JF - Econometric Reviews EP - 525 TI - Large-Deviations Theory and Empirical Estimator Choice PB - Taylor & Francis VL - 27 SP - 513 KW - asymptotics KW - econometric_theory KW - econometrics KW - empirical_likelihood AU - Grendár, Marian AU - Judge, George PY - 2008/// UR - http://dx.doi.org/10.1080/07474930801960402 ER -