Ferrari, Davide; Paterlini, Sandra - Dipartimento di Economia "Marco Biagi", Università … - 2010
We consider a new robust parametric estimation procedure, which minimizes an empirical version of the Havrda-Charvàt-Tsallis entropy. The resulting estimator adapts according to the discrepancy between the data and the assumed model by tuning a single constant q, which controls the trade-off...