TY - JOUR
T1 - Moderate deviations of generalized method of moments and empirical likelihood estimators
AU - Otsu, Taisuke
N1 - Funding Information:
Financial support from the National Science Foundation ( SES-0720961 ) is gratefully acknowledged.
PY - 2011/9
Y1 - 2011/9
N2 - This paper studies moderate deviation behaviors of the generalized method of moments and generalized empirical likelihood estimators for generalized estimating equations, where the number of equations can be larger than the number of unknown parameters. We consider two cases for the data generating probability measure: the model assumption and local contaminations or deviations from the model assumption. For both cases, we characterize the first-order terms of the moderate deviation error probabilities of these estimators. Our moderate deviation analysis complements the existing literature of the local asymptotic analysis and misspecification analysis for estimating equations, and is useful to evaluate power and robust properties of statistical tests for estimating equations which typically involve some estimators for nuisance parameters.
AB - This paper studies moderate deviation behaviors of the generalized method of moments and generalized empirical likelihood estimators for generalized estimating equations, where the number of equations can be larger than the number of unknown parameters. We consider two cases for the data generating probability measure: the model assumption and local contaminations or deviations from the model assumption. For both cases, we characterize the first-order terms of the moderate deviation error probabilities of these estimators. Our moderate deviation analysis complements the existing literature of the local asymptotic analysis and misspecification analysis for estimating equations, and is useful to evaluate power and robust properties of statistical tests for estimating equations which typically involve some estimators for nuisance parameters.
KW - 60F10
KW - 62F12
KW - Empirical likelihood
KW - Estimating equation
KW - Moderate deviation
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U2 - 10.1016/j.jmva.2011.04.002
DO - 10.1016/j.jmva.2011.04.002
M3 - Article
AN - SCOPUS:79957641694
VL - 102
SP - 1203
EP - 1216
JO - Journal of Multivariate Analysis
JF - Journal of Multivariate Analysis
SN - 0047-259X
IS - 8
ER -