Projection theorems and estimating equations for power-law models
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Publication:2034450
DOI10.1016/J.JMVA.2021.104734zbMATH Open1467.62086OpenAlexW3131289517WikidataQ113870431 ScholiaQ113870431MaRDI QIDQ2034450FDOQ2034450
Abstract: We extend projection theorems concerning Hellinger and Jones et al. divergences to the continuous case. These projection theorems reduce certain estimation problems on generalized exponential models to linear problems. We introduce the notion of regularity for generalized exponential models and show that the projection theorems in this case are similar to the ones in discrete and canonical case. We also apply these ideas to solve certain estimation problems concerning Student and Cauchy distributions.
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