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Parametric density estimation by minimizing nonextensive entropy

  • Davide Ferrari

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    In this paper, we consider parametric density estimation based on minimizing the Havrda-Charvat-Tsallis nonextensive entropy. The resulting estimator, called the Maximum Lq-Likelihood estimator (MLqE), is indexed by a single distortion parameter q, which controls the trade-off between bias and variance. The method has two notable special cases. If q tends to 1, the MLqE is the Maximum Likelihood Estimator (MLE). When q = 1=2, the MLqE is a minimum Hellinger distance type of estimator with the perk of avoiding nonparametric techniques and the difficulties of bandwith selection. The MLqE is studied using asymptotic analysis, simulations and real-world data, showing that it conciliates two apparently contrasting needs: effciency and robustness, conditional to a proper choice of q. When the sample size is small or moderate, the MLqE trades bias for variance, resulting in a reduced mean squared error compared to the MLE. At the same time, the MLqE exhibits strong robustness at expense of a slightly reduced effciency in presence of observations discordant with the assumed model. To compute the MLq estimates, a fast and easy-to-implement algorithm based on a reweighting strategy is also supplied.

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    File URL: http://www.recent.unimore.it/wp/RECent-wp16.pdf
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    Paper provided by University of Modena and Reggio E., Dept. of Economics "Marco Biagi" in its series Center for Economic Research (RECent) with number 016.

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    Length: pages 39
    Date of creation: May 2008
    Date of revision:
    Handle: RePEc:mod:recent:016
    Contact details of provider: Web page: http://www.recent.unimore.it/
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