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.
(2006), for anyt≥0, Pθ ={P∈∆ F (X) :c θ(P) = 0}={P∈∆ F (X) :c θ(P)≤t} Hence,≿ θ satisfies Axiom 18 if and only if it satisfies Axioms 14 and
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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.