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Misspecified models and Model-constrained estimation

Arnau Tibau Puig October 10 th 2008. Misspecified models and Model-constrained estimation. « What most experimenters take for granted before they begin their experiments is infinitely more interesting than any results to which their experiments lead. » Norbert Wiener (1894-1964) ‏.

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Misspecified models and Model-constrained estimation

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  1. Arnau Tibau Puig October 10th 2008 Misspecified models and Model-constrained estimation

  2. « What most experimenters take for granted before they begin their experiments is infinitely more interesting than any results to which their experiments lead. » Norbert Wiener (1894-1964)‏ What's this going to be about.

  3. (about the order of the group meetings)‏ Ami: you're the second. Arnau: Why me, why me? Ami: you're the second. That's why I'm talking, so: - no results - no nice theories - just some ideas from papers Seriously.

  4. Problem setting Misspecified model (definition)‏ Facts about KL divergence [Akaike 1974] Model-constrained Estimation What? Why? Useful asymptotic (big n) results for misspecified models Asymptotics of MLE [LeCam 1953] [Huber 1967] and [White 1982] results Regularity... Idea of the proofs And so what? GMT approach [GMT 1984] Outline

  5. [LeCam 1953] On some asymptotic properties of maximum likelihood estimates and related Bayes. University of California publications in Statistics, 1 (1953)‏ [Huber 1967] The behavior of the maximum likelihood estimates under nonstandard conditions. Huber P., Proceedings of 5th Berkley Symposium on Mathematica Statistics and Probability, 1967 [Akaike 1974] A new Look at the statistical model identification. Hirotugu Akaike, IEEE Transactions on Automatic Control, vol. 19 no. 6 [White 1982] Maximum Likelihood Estimation of Misspecified Models, Halbert White, Econometrica, Vol. 50, No. 1 (Jan., 1982), pp. 1-25 [GMT 1984] Pseudo Maximum Likelihood Methods: Theory C. Gourieroux, A. Monfort and A. Trognon Econometrica, Vol. 52, No. 3 (May, 1984), pp. 681-700 Very good tutorial on Misspecified Models: Stas Kolnikov, 2007 web.missouri.edu/~kolenikovs/talks/Stas-misspecified-handout.pdf - References

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