Divergence Empirique et Vraisemblance Empirique Généralisée

Patrice Bertail, Hugo Harari-Kermadec and Denis Ravaille
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Patrice Bertail: Crest
Hugo Harari-Kermadec: Crest
Denis Ravaille: Crest

No 2004-29, Working Papers from Center for Research in Economics and Statistics

Abstract: In this paper, we generalize the results obtained with the Kullbackdistance (corresponding to empirical likelihood) and Cressie-Read metrics(generalized empirical likelihood) to general discrepancies, for someconvex functions satisfying a few regularity properties. In particular, weintroduce a new Bartlett correctable family of empirical discrepancies, theQuasi-Kullback, out of Cressie-Read family, which possess interesting nitesample properties. We conclude this work with some simulations in the multidimensionalcase for different discrepancies.

Date: 2004
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