Weighted sampling, Maximum Likelihood and minimum divergence estimators

DOI10.1007/978-3-642-40020-9_51MaRDI QIDQ6234696arXivFDO

Authors M. Broniatowski

Publication date 27 July 2012

Published in arXiv

Full work available at URL https://doi.org/10.1007/978-3-642-40020-9_51

Mathematics Subject Classification ID

Large deviations (60F10) Point estimation (62F10) Measures of information, entropy (94A17)

arXiv classification

math.STstat.MEstat.TH

Abstract: This paper explores Maximum Likelihood in parametric models in the context of Sanov type Large Deviation Probabilities. MLE in parametric models under weighted sampling is shown to be associated with the minimization of a specific divergence criterion defined with respect to the distribution of the weights. Some properties of the resulting inferential procedure are presented; Bahadur efficiency of tests are also considered in this context.

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