Parametric estimation and tests through divergences and the duality technique

@article{Broniatowski2009ParametricEA,
  title={Parametric estimation and tests through divergences and the duality technique},
  author={Michel Broniatowski and Amor Keziou},
  journal={J. Multivariate Analysis},
  year={2009},
  volume={100},
  pages={16-36}
}
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 maximum likelihood technique. An other view at the maximum likelihood approach, for estimation and test, is given. We prove existence and consistency of the proposed estimates. The limit laws of the estimates and test… CONTINUE READING

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