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| HAL : hal-00460631, version 1 |
| Fiche détaillée |  Récupérer au format |
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| Statistics A Journal of Theoretical and Applied Statistics 45, 3 (2011) 223-236 |
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| Inference in phi-families of distributions |
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| Bruno Pelletier 1 |
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| (2011) |
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| This paper is devoted to the study of the parametric family of multivari- ate distributions obtained by minimizing a convex functional under linear constraints. Under certain assumptions on the convex functional, it is es- tablished that this family admits an affine parametrization, and parametric estimation from an i.i.d. random sample is studied. It is also shown that the members of this family are the limit distributions arising in inference based on empirical likelihood. As a consequence, given a probability measure μ0 and an i.i.d. random sample drawn from μ0, nonparametric confidence do- mains on the generalized moments of μ0 are obtained. |
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| 1 : | Institut de Recherche Mathématique de Rennes (IRMAR) |
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CNRS : UMR6625 – Université de Rennes 1 – École normale supérieure de Cachan - ENS Cachan – Institut National des Sciences Appliquées (INSA) : - RENNES – Université de Rennes II - Haute Bretagne |
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| Domaine | : | Mathématiques/Statistiques Statistiques/Théorie |
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| Parametric statistics – Maximum entropy – φ-divergence – empirical likelihood – generalized moment. |
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| Liste des fichiers attachés à ce document : | |||||
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| hal-00460631, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00460631 | |
| oai:hal.archives-ouvertes.fr:hal-00460631 | |
| Contributeur : Bruno Pelletier | |
| Soumis le : Lundi 1 Mars 2010, 18:26:25 | |
| Dernière modification le : Lundi 6 Juin 2011, 11:26:47 | |
