reflections on the probability space induced by moment conditions with implications for Bayesian Inference [slides]
Here are the slides of my incoming discussion of Ron Gallant’s paper, tomorrow.
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This entry was posted on December 4, 2014 at 2:18 pm and is filed under Books, Statistics, University life with tags ABC, Arnold Zellner, Christian Gouriéroux, conference, empirical likelihood, fiducial distribution, measure theory, method of moments, Paris, R.A. Fisher, slides, structural model, Université Paris Dauphine. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.
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December 4, 2014 at 5:57 pm
Another random thought: This has the structure of a moment problem, so surely the answer to the existence question basically comes down to a “matrix completion” problem: For any sample size, can the sequence of Hankel matrices can be completed to a positive definite infinite Hankel matrix?
The answer would probably be “sometimes and here are some uncheckable conditions”.
December 4, 2014 at 4:33 pm
Typo in the references on slide 17 (the ABC, EP/INLA etc… a year is mis-typed)
December 4, 2014 at 4:37 pm
How kind of you! Thanks!