Minimum divergence estimators, maximum likelihood and exponential families

The dual representation formula of the divergence between two distributions in a parametric model is presented. Resulting estimators do not make use of any grouping or smoothing. For smooth divergences they all coincide with the MLE on any regular exponential family.

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Year of publication:	2014
Authors:	Broniatowski, Michel
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 93.2014, C, p. 27-33
Publisher:	Elsevier
Subject:	Statistical divergence \| Minimum divergence estimator \| Maximum likelihood \| Exponential family

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010906226