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[Conditional moment restrictions estimation] Nikita Zhivotovskiy Лаборатория структурных методов анализа данных в предсказательном моделировании при МФТИ (ПреМоЛаб), г. Москва |
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Аннотация: We are interested in statistical models where parameters are identified by a set of conditional estimating equations (or moment restrictions). Using modern tools proposed by Spokoiny (2011) we will reconsider the properties of the estimator in generalised method of moments and derive Wilks expansion for this model. All the results are non-asymptotic and stated for a deterministic design. Язык доклада: английский |
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