Approximate maximum entropy on the mean for instrumental variable regression

Jean-Michel Loubes and Paul Rochet

Statistics & Probability Letters, 2012, vol. 82, issue 5, 972-978

Abstract: We want to estimate an unknown finite measure μX from a noisy observation of generalized moments of μX, defined as the integral of a continuous function Φ with respect to μX. Assuming that only a quadratic approximation Φm is available, we define an approximate maximum entropy solution as a minimizer of a convex functional subject to a sequence of convex constraints. We establish asymptotic properties of the approximate solution under regularity assumptions on the convex functional, and we study an application of this result to instrumental variable estimation.

Keywords: Approximate maximum entropy; Inverse problem (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spl.2012.02.006

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