Document Type
Discussion Paper
Publication Date
1-1-2001
CFDP Number
1288
CFDP Pages
31
Abstract
In this paper we introduce a family of semi-parametric estimators, suggested by Manski’s minimum mean-square distance from independence estimator. We establish the strong consistency, asymptotic normality and consistency of bootstrap estimates of the sampling distribution and the asymptotic variance of these estimators.
Recommended Citation
Brown, Donald J. and Wegkamp, Marten H., "Weighted Minimum Mean-Square Distance from Independence Estimation" (2001). Cowles Foundation Discussion Papers. 1541.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1541