کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1146449 957511 2011 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Moderate deviations of generalized method of moments and empirical likelihood estimators
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Moderate deviations of generalized method of moments and empirical likelihood estimators
چکیده انگلیسی

This paper studies moderate deviation behaviors of the generalized method of moments and generalized empirical likelihood estimators for generalized estimating equations, where the number of equations can be larger than the number of unknown parameters. We consider two cases for the data generating probability measure: the model assumption and local contaminations or deviations from the model assumption. For both cases, we characterize the first-order terms of the moderate deviation error probabilities of these estimators. Our moderate deviation analysis complements the existing literature of the local asymptotic analysis and misspecification analysis for estimating equations, and is useful to evaluate power and robust properties of statistical tests for estimating equations which typically involve some estimators for nuisance parameters.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 102, Issue 8, September 2011, Pages 1203–1216
نویسندگان
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