| 来源类型 | Monograph (IIASA Interim Report) |
| 规范类型 | 报告 |
| Estimation of Econometric Models by Risk Minimization: A Stochastic Quasigradient Approach. | |
| Ermoliev YM; Keyzer MA; Norkin VI | |
| 发表日期 | 2002 |
| 出版者 | IIASA, Laxenburg, Austria: IR-02-021 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | The paper presents a risk minimization approach to estimate a flexible form that meets a priori restrictions on slope and curvature by means of constraints on both the estimated parameters and the function values. The resulting constrained risk minimization combines parametric and nonparametric estimation and contains integrals and implicit constraints. Within econometrics, simulation has become a common tool to solve problems of this kind. However, it appears that in our case, the simulation approach only applies when the model is linear in parameters, has simple constraints on parameters and a quadratic risk function. To deal with other cases, we use a stochastic optimization technique known as the stochastic quasi-gradient method for stationary and nonstationary problems with Cesaro averaging. This method is also applicable to an expanding series of random observations, and produces asymptotically (weakly) convergent estimates. |
| 主题 | Modeling Land-Use and Land-Cover Changes (LUC) ; Risk, Modeling and Society (RMS) |
| URL | http://pure.iiasa.ac.at/id/eprint/6764/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/125184 |
| 推荐引用方式 GB/T 7714 | Ermoliev YM,Keyzer MA,Norkin VI. Estimation of Econometric Models by Risk Minimization: A Stochastic Quasigradient Approach.. 2002. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| IR-02-021.pdf（829KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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