Divergences and Duality for Estimation and Test under Moment Condition Models

@inproceedings{Broniatowski2012DivergencesAD,
  title={Divergences and Duality for Estimation and Test under Moment Condition Models},
  author={Michel Broniatowski and Amor Keziou},
  year={2012}
}
We introduce estimation and test procedures through divergence minimization for models satisfying linear constraints with unknown parameter. These procedures extend the empirical likelihood (EL) method and share common features with generalized empirical likelihood (GEL) approach. We treat the problems of existence and characterization of the divergence projections of probability measures on sets of signed finite measures. Our approach allows to obtain the limit distributions of the estimates… CONTINUE READING
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