Generalized method of moments based on probability generating function is considered. Estimation and model testing are unified using this approach which also leads to distribution free chi-square tests. The estimation...Generalized method of moments based on probability generating function is considered. Estimation and model testing are unified using this approach which also leads to distribution free chi-square tests. The estimation methods developed are also related to estimation methods based on generalized estimating equations but with the advantage of having statistics for model testing. The methods proposed overcome numerical problems often encountered when the probability mass functions have no closed forms which prevent the use of maximum likelihood (ML) procedures and in general, ML procedures do not lead to distribution free model testing statistics.展开更多
GMM inference procedures based on the square of the modulus of the model characteristic function are developed using sample moments selected using estimating function theory and bypassing the use of empirical characte...GMM inference procedures based on the square of the modulus of the model characteristic function are developed using sample moments selected using estimating function theory and bypassing the use of empirical characteristic function of other GMM procedures in the literature. The procedures are relatively simple to implement and are less simulation-oriented than simulated methods of inferences yet have the potential of good efficiencies for models with densities without closed form. The procedures also yield better estimators than method of moment estimators for models with more than three parameters as higher order sample moments tend to be unstable.展开更多
In this paper, based on the recent results of Cozlan and Leonard we give optimal transportation- entropy inequalities for several usual distributions on R, such as Bernoulli, Binomial, Poisson, Gamma distributions and...In this paper, based on the recent results of Cozlan and Leonard we give optimal transportation- entropy inequalities for several usual distributions on R, such as Bernoulli, Binomial, Poisson, Gamma distributions and infinitely divisible distributions with positive or negative jumps.展开更多
文摘Generalized method of moments based on probability generating function is considered. Estimation and model testing are unified using this approach which also leads to distribution free chi-square tests. The estimation methods developed are also related to estimation methods based on generalized estimating equations but with the advantage of having statistics for model testing. The methods proposed overcome numerical problems often encountered when the probability mass functions have no closed forms which prevent the use of maximum likelihood (ML) procedures and in general, ML procedures do not lead to distribution free model testing statistics.
文摘GMM inference procedures based on the square of the modulus of the model characteristic function are developed using sample moments selected using estimating function theory and bypassing the use of empirical characteristic function of other GMM procedures in the literature. The procedures are relatively simple to implement and are less simulation-oriented than simulated methods of inferences yet have the potential of good efficiencies for models with densities without closed form. The procedures also yield better estimators than method of moment estimators for models with more than three parameters as higher order sample moments tend to be unstable.
基金Supported by the National Natural Science Foundation of China (No.11001208)the Fundamental Research Funds for the Central Universities
文摘In this paper, based on the recent results of Cozlan and Leonard we give optimal transportation- entropy inequalities for several usual distributions on R, such as Bernoulli, Binomial, Poisson, Gamma distributions and infinitely divisible distributions with positive or negative jumps.
