CFDP 1252

Asymptotics in Minimum Distance from Independence Estimation

Author(s): 
Donald J. BrownMarten H. Wegkamp

Publication Date: April 2000

Pages: 21

Abstract: 

In this paper we introduce a family of minimum distance from independence estimators, suggested by Manski’s minimum mean square from independence estimator. We establish strong consistency, asymptotic normality and consistency of resampling estimates of the distribution and variance of these estimators. For Manski’s estimator we derive both strong consistency and asymptotic normality.