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| HAL : hal-00675044, version 1 |
| arXiv : 1202.6469 |
| Fiche détaillée |  Récupérer au format |
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| Bayesian interpretation of Generalized empirical likelihood by maximum entropy |
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| Paul Rochet 1 |
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| (12/2011) |
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| We study a parametric estimation problem related to moment condition models. As an alternative to the generalized empirical likelihood (GEL) and the generalized method of moments (GMM), a Bayesian approach to the problem can be adopted, extending the MEM procedure to parametric moment conditions. We show in particular that a large number of GEL estimators can be interpreted as a maximum entropy solution. Moreover, we provide a more general field of applications by proving the method to be robust to approximate moment conditions. |
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| 1 : | Institut de Mathématiques de Toulouse (IMT) |
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Université Paul Sabatier [UPS] - Toulouse III – Université Toulouse le Mirail - Toulouse II – Université des Sciences Sociales - Toulouse I – Institut National des Sciences Appliquées (INSA) - Toulouse – CNRS : UMR5219 |
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| Domaine | : | Mathématiques/Statistiques Statistiques/Théorie |
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| empirical likelihood – maximum entropy – Bayesian statistics |
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| Liste des fichiers attachés à ce document : | ||||||||||
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| hal-00675044, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00675044 | |
| oai:hal.archives-ouvertes.fr:hal-00675044 | |
| Contributeur : Paul Rochet | |
| Soumis le : Mardi 28 Février 2012, 19:05:20 | |
| Dernière modification le : Mercredi 29 Février 2012, 08:47:51 | |
