Divergence empirique et vraisemblance empirique généralisée

Patrice Bertail, Hugo Harrari-Kermadec and Denis Ravaille

Annals of Economics and Statistics, 2007, issue 85, 131-157

Abstract: In this paper, we generalize the results obtained with the Kullback distance (corresponding to empirical likelihood) and Cressie-Read metrics (generalized empirical likelihood) to general Phi*-discrepancies, for some convex functions Phi satisfying a few regularity properties. In particular, we introduce a new Bartlett correctable family of empirical discrepancies, the Quasi-Kullback, out of Cressie-Read family, which possess interesting finite sample properties. We conclude this work with some simulations in the multidimensional case for different discrepancies.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:2007:i:85:p:131-157

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