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Minimum Sliced Distance Estimation in a Class of Nonregular Econometric Models

This paper proposes minimum sliced distance estimation in structural econometric models with possibly parameter-dependent supports. In contrast to likelihood-based estimation, we show that under mild regularity conditions, the minimum sliced distance

Externí odkaz: http://arxiv.org/abs/2412.05621

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Iterative Distributed Multinomial Regression

Autor: Fan, Yanqin, Okar, Yigit, Shi, Xuetao

This article introduces an iterative distributed computing estimator for the multinomial logistic regression model with large choice sets. Compared to the maximum likelihood estimator, the proposed iterative distributed estimator achieves significant

Externí odkaz: http://arxiv.org/abs/2412.01030

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Quantifying Distributional Model Risk in Marginal Problems via Optimal Transport

Autor: Fan, Yanqin, Park, Hyeonseok, Xu, Gaoqian

This paper studies distributional model risk in marginal problems, where each marginal measure is assumed to lie in a Wasserstein ball centered at a fixed reference measure with a given radius. Theoretically, we establish several fundamental results

Externí odkaz: http://arxiv.org/abs/2307.00779

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Akademický článek

Estimation and inference in games of incomplete information with unobserved heterogeneity and large state space.

Autor: Fan, Yanqin¹ (AUTHOR) fany88@uw.edu, Jiang, Shuo² (AUTHOR) jiangshuo@xmu.edu.cn, Shi, Xuetao³ (AUTHOR) xuetao.shi@sydney.edu.au

Publikováno v: Quantitative Economics. Nov2024, Vol. 15 Issue 4, p893-938. 46p.

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Lorenz map, inequality ordering and curves based on multidimensional rearrangements

Autor: Fan, Yanqin, Henry, Marc, Pass, Brendan, Rivero, Jorge A.

We propose a multivariate extension of the Lorenz curve based on multivariate rearrangements of optimal transport theory. We define a vector Lorenz map as the integral of the vector quantile map associated with a multivariate resource allocation. Eac

Externí odkaz: http://arxiv.org/abs/2203.09000

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Vector copulas

Autor: Fan, Yanqin, Henry, Marc

This paper introduces vector copulas associated with multivariate distributions with given multivariate marginals, based on the theory of measure transportation, and establishes a vector version of Sklar's theorem. The latter provides a theoretical j

Externí odkaz: http://arxiv.org/abs/2009.06558

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