Kullback-Leibler information and statistical modeling (2021)

prof. Gabriele Soffritti

  • Date:

    22 FEBRUARY
    -
    05 MARCH 2021
     from 11:00 to 13:00

  • Event location: Online, Teams

  • Type: Cycle 36 - Mandatory Courses

All dates: Online, Teams

Prof. Gabriele Soffritti

Mon 22/02 11:00 - 13:00 
Fri    26/02 11:00 - 13:00 
Mon 01/03 11:00 - 13:00 
Fri    05/03 11:00 - 13:00 

 

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.