Introduces the constrained multiplier criterion for misspecification-averse estimation and proves its asymptotic optimality via a local minimax theorem in a limit experiment incorporating moment constraints.
Thestrict epigraphof a functionF:V→[−∞,+∞] is the set epiS(F) :={(v, r)∈V×R:F(v)< r}
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Misspecification-Averse Estimation
Introduces the constrained multiplier criterion for misspecification-averse estimation and proves its asymptotic optimality via a local minimax theorem in a limit experiment incorporating moment constraints.