GMM estimation of a maximum entropy distribution with interval data

DOI10.1016/J.JECONOM.2006.05.008MaRDI QIDQ280217zbMATH OpenOpenAlexFDO

Authors Ximing Wu, Jeffrey M. Perloff

Publication date 9 May 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2006.05.008

zbMATH Keywords

density estimationmaximum entropyGMMgrouped data

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Density estimation (62G07) Applications of statistics to economics (62P20)

Recommendations

• On GMM estimation of distributions from grouped data
• The data-constrained generalized maximum entropy estimator of the GLM: asymptotic theory and inference
• Using moment constraints in GME estimation
• Implied Probabilities in GMM Estimators
• Comparison of maximum entropy and higher-order entropy estimators.

Cites work

• scientific article; zbMATH DE number 48904 (Why is no real title available?)
• scientific article; zbMATH DE number 1082203 (Why is no real title available?)
• A note on proximity of distributions in terms of coinciding moments.
• Algebraic bounds on standardized sample moments
• Approximation of density functions by sequences of exponential families
• Calculation of maximum entropy densities with application to income distribution
• Information Theory and Statistical Mechanics
• Partially adaptive estimation via the maximum entropy densities
• Prior Probabilities

Cited in

(10)

• Density estimation for grouped data with application to line transect sampling
• A Unified Approach to Estimating and Testing Income Distributions With Grouped Data
• Estimation and inference for area-wise spatial income distributions from grouped data
• Model averaging for interval-valued data
• EM algorithm for mixture of skew-normal distributions fitted to grouped data
• Interval estimation: An information theoretic approach
• Using moment constraints in GME estimation
• On GMM estimation of distributions from grouped data
• Estimation of a probability density function using interval aggregated data
• Maximum entropy in the mean methods in propensity score matching for interval and noisy data

This page was built for publication: GMM estimation of a maximum entropy distribution with interval data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q280217)