Constrained Polynomial Likelihood
نویسندگان
چکیده
We develop a non-negative polynomial minimum-norm likelihood ratio (PLR) of two distributions which only moments are known. The PLR converges to the true, unknown, ratio. show consistency, obtain asymptotic distribution for coefficients estimated with sample moments, and present applications. first develops unknown transition density jump-diffusion process. second modifies Hansen-Jagannathan pricing kernel framework accommodate linear return models consistent no-arbitrage.
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ژورنال
عنوان ژورنال: Social Science Research Network
سال: 2021
ISSN: ['1556-5068']
DOI: https://doi.org/10.2139/ssrn.3851730