Partially Adaptive Estimation via Maximum Entropy Densities
نویسندگان
چکیده
منابع مشابه
Partially Adaptive Estimation via the Maximum Entropy Densities∗
We propose a partially adaptive estimator based on information theoretic maximum entropy estimates of the error distribution. The maximum entropy (maxent) densities have simple yet flexible functional forms to nest most of the mathematical distributions. Unlike the nonparametric fully adaptive estimators, our parametric estimators do not involve choosing a bandwidth or trimming, and only requir...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2005
ISSN: 1556-5068
DOI: 10.2139/ssrn.682683