题目：An Adaptive Estimation for Semiparametric Models
嘉宾：吴静静教授（University of Calgary, Canada )
时间：2014年11月10日下午4:15
地点：管理科研楼10楼1018会议室

单位：管理学院统计与金融系

摘要：
The successful application of the Hellinger distance approach to fully parametric models is well known. The corresponding optimal estimators, known as minimum Hellinger distance (MHD) estimators, are efficient and have excellent robustness properties (Beran, 1977). This combination of efficiency and robustness makes MHD estimators appealing in practice. However, their application to semiparametric statistical models, which have a nuisance parameter (typically of infinite dimension), has not been fully studied. In this paper, we investigate a methodology to extend the MHD approach to general semiparametric models. We introduce the profile Hellinger distance and use it to construct a minimum profile Hellinger distance (MPHD) estimator of the finite-dimensional parameter of interest. This approach is analogous in some sense to the profile likelihood approach. We investigate the asymptotic properties such as the asymptotic normality, efficiency, and adaptivity of the proposed estimator. We also investigate its robustness properties. We present its small-sample properties using a Monte Carlo study.