Maximum Entropy Empirical Likelihood Methods Based on Laplace Transforms for Nonnegative Continuous Distribution with Actuarial Applications

Andrew Luong
2017 Open Journal of Statistics  
Maximum entropy likelihood (MEEL) methods also known as exponential tilted empirical likelihood methods using constraints from model Laplace transforms (LT) are introduced in this paper. An estimate of overall loss of efficiency based on Fourier cosine series expansion of the density function is proposed to quantify the loss of efficiency when using MEEL methods. Penalty function methods are suggested for numerical implementation of the MEEL methods. The methods can easily be adapted to
more » ... adapted to estimate continuous distribution with support on the real line encountered in finance by using constraints based on the model generating function instead of LT.
doi:10.4236/ojs.2017.73033 fatcat:nqc2eplj7rfvrpdn5pihweylly