[经济学] 改进的密度和分布函数估计 [推广有奖]

摘要翻译：
给定以矩限制形式的附加分布信息，核密度和分布函数估计器以隐含的广义经验似然概率作为权重，由于系统地使用这些额外信息，方差减小。这里特别感兴趣的是在由有限个矩限制所定义的半参数模型中（广义）残差的密度或分布的估计。这种估计具有很大的实际意义，可能用于诊断目的，包括对误差分布的参数假设的检验、拟合优度检验或对过度识别矩限制的检验。本文给出了核密度估计和核分布估计的相合性条件，并描述了核密度估计和核分布估计的渐近均方误差性质。仿真研究评估了这些估计器的小样本性能。补充提供了分析例子来说明核加权提供方差减少的情况，并证明了论文中的结果。
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英文标题：
《Improved Density and Distribution Function Estimation》
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作者：
Vitaliy Oryshchenko and Richard J. Smith
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最新提交年份：
2018
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分类信息：

一级分类：Statistics        统计学
二级分类：Methodology        方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
  Given additional distributional information in the form of moment restrictions, kernel density and distribution function estimators with implied generalised empirical likelihood probabilities as weights achieve a reduction in variance due to the systematic use of this extra information. The particular interest here is the estimation of densities or distributions of (generalised) residuals in semi-parametric models defined by a finite number of moment restrictions. Such estimates are of great practical interest, being potentially of use for diagnostic purposes, including tests of parametric assumptions on an error distribution, goodness-of-fit tests or tests of overidentifying moment restrictions. The paper gives conditions for the consistency and describes the asymptotic mean squared error properties of the kernel density and distribution estimators proposed in the paper. A simulation study evaluates the small sample performance of these estimators. Supplements provide analytic examples to illustrate situations where kernel weighting provides a reduction in variance together with proofs of the results in the paper.
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PDF链接：
https://arxiv.org/pdf/1711.04793