Kullback-Leibler information and statistical modeling (2020)

prof. Gabriele Soffritti

  • Date:

    21 FEBRUARY
    -
    02 MARCH 2020
     from 12:00 to 17:00

  • Event location: Seminar Room, 1st floor, Department of Statistics, Via Belle Arti 41, Bologna

  • Type: Cycle 35 - Mandatory Courses

All dates: Department of Statistics, Via Belle Arti 41, Bologna

Prof. Gabriele Soffritti

Fri    21/02 10:00 - 12:00 
Thu  27/02 10:00 - 12:00 
Fri    28/02 10:00 - 12:00 
Mon 02/03 15:00 - 17:00 

 

Topics

  • Statistical models. Model identification and (mis)specification.
  • Kullback-Leibler information, expected log-likelihood and their estimators.
  • Kullback-Leibler information as a criterion for evaluating statistical models that approximate the true distribution of the data.
  • Asymptotic properties of the maximum likelihood estimator in the presence of model misspecification.

 

References:

S. Konishi and G. Kitagawa (2008). “Information criteria and statistical modeling”. Springer, New York (Chapter 3).
H. White (1982). “Maximum likelihood estimation of misspecified models”. Econometrica, Vol. 50, No. 1. (Jan. 1982), pp. 1-25.