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Divergence empirique et vraisemblance empirique généralisée

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  • Patrice Bertail
  • Hugo Harrari-Kermadec
  • Denis Ravaille

Abstract

In this paper, we generalize the results obtained with the Kullback distance (corresponding to empirical likelihood) and Cressie-Read metrics (generalized empirical likelihood) to general Phi*-discrepancies, for some convex functions Phi satisfying a few regularity properties. In particular, we introduce a new Bartlett correctable family of empirical discrepancies, the Quasi-Kullback, out of Cressie-Read family, which possess interesting finite sample properties. We conclude this work with some simulations in the multidimensional case for different discrepancies.

Suggested Citation

  • Patrice Bertail & Hugo Harrari-Kermadec & Denis Ravaille, 2007. "Divergence empirique et vraisemblance empirique généralisée," Annals of Economics and Statistics, GENES, issue 85, pages 131-157.
    • Handle: RePEc:adr:anecst:y:2007:i:85:p:131-157
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