Choix d'estimateurs base sur le risque de Kullback-Leibler.

Liquet, Benoit (2010) Choix d'estimateurs base sur le risque de Kullback-Leibler.. Journal de la Société Française de Statistique, 151 1: 38-57.

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Author Liquet, Benoit
Title Choix d'estimateurs base sur le risque de Kullback-Leibler.
Translated title Choice of estimators based on Kullback-Leibler risk
Language of Title fre
Journal name Journal de la Société Française de Statistique   Check publisher's open access policy
Language of Journal Name fre
ISSN 2102-6238
Publication date 2010
Year available 2010
Sub-type Article (original research)
Open Access Status File (Publisher version)
Volume 151
Issue 1
Start page 38
End page 57
Total pages 20
Place of publication Paris, France
Publisher Société Française de Statistique
Language fre
Abstract Estimators choice is a crucial topic in statistics. The most famous criterion is the Akaike information criterion. It has been constructed as an approximation, up to a constant, of the Kullback-Leibler risk. However, a precise value of the Akaike criterion has no direct interpretation and its variability is often ignored. We propose several approaches to estimate Kullback-Leibler risks. The criteria defined can be used in a parametric, non-parametric or semi-parametric context. An extension of these criteria for incomplete data is presented. The issue of the choice of estimators in the presence of incomplete data is described. Several applications in the survival framework is described: smooth estimators choice for the hazard function, estimators choice from proportional hazard model and stratified model, and estimators choice for markov model and non markov model. Finally, several criteria are defined for selecting estimators based on different observations.
Keyword AIC criterion
Incomplete data
Kullback-Leibler risk
Model selection
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Non-UQ

Document type: Journal Article
Sub-type: Article (original research)
Collection: School of Mathematics and Physics
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Created: Fri, 13 Sep 2013, 16:04:33 EST by Kay Mackie on behalf of School of Mathematics & Physics