Fast indirect robust generalized method of moments

DOI10.1016/J.CSDA.2009.03.021MaRDI QIDQ961820zbMATH OpenOpenAlexFDO

Authors Sébastien Loisel, Marina Takane

Publication date 1 April 2010

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2009.03.021

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Robustness and adaptive procedures (parametric inference) (62F35) Applications of statistics to economics (62P20)

Recommendations

• Robust inference with GMM estimators
• Generalized method of trimmed moments
• Robust efficient method of moments estimation
• Robust efficient method of moments
• Robust Indirect Inference

Cites work

• Extrapolation Methods for Vector Sequences
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
• Large Sample Properties of Generalized Method of Moments Estimators
• Robust Indirect Inference
• Robust inference with GMM estimators

Cited in

(3)

• Generalized GIPSCAL re-revisited: a fast convergent algorithm with acceleration by the minimal polynomial extrapolation
• Fast robust estimation of prediction error based on resampling
• An acceleration method for ten Berge et al.'s algorithm for orthogonal INDSCAL

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