TY - JOUR
TI - Optimal design approach to GMM estimation of parameters based on empirical transforms
AU - Braun, M.P.
AU - Meintanis, S.G.
AU - Melas, V.B.
JO - International Statistical Review
PY - 2008
VL - 76
TODO - 3
SP - 387-400
PB - 
SN - 0306-7734, 1751-5823
TODO - 10.1111/j.1751-5823.2008.00055.x
TODO - null
TODO - Parameter estimation based on the generalized method of moments (GMM) is proposed. The proposed method employs a distance between an empirical and the corresponding theoretical transform. Estimation by the empirical characteristic function (CF) is a typical example, but alternative empirical transforms are also employed, such as the empirical Laplace transform when dealing with non-negative random variables. D-optimal designs are discussed, whereby the arguments of the empirical transform are chosen by maximizing the determinant of the asymptotic Fisher information matrix for the resulting estimators. The methods are applied to some parametric models for which classical inference is complicated. © 2008 The Authors.
ER -