Uniform minimum risk equivariant estimates for moment condition models
Statistics Theory
2024-08-21 v1 Statistics Theory
Abstract
We consider semiparametric moment condition models invariant to transformation groups. The parameter of interest is estimated by minimum empirical divergence approach, introduced by Broniatowski and Keziou (2012). It is shown that the minimum empirical divergence estimates, including the empirical likelihood one, are equivariants. The minimum risk equivariant estimate is then identied to be any one of the minimum empirical divergence estimates minus its expectation conditionally to maximal invariant statistic of the considered group of transformations. An asymptotic approximation to the conditional expectation, is obtained, using the result of Jureckov{\'a} and Picek (2009).
Cite
@article{arxiv.1904.11823,
title = {Uniform minimum risk equivariant estimates for moment condition models},
author = {Michel Broniatowski and Jana Jurečková and Amor Keziou},
journal= {arXiv preprint arXiv:1904.11823},
year = {2024}
}
Comments
arXiv admin note: text overlap with arXiv:1002.0730