Pré-Publication, Document De Travail Année : 2021

Continuous indetermination and average likelihood minimization

Résumé

The authors transpose a discrete notion of indetermination coupling in the case of continuous probabilities. They show that this coupling, expressed on densities, cannot be captured by a specific copula which acts on cumulative distribution functions without a high dependence on the margins. Furthermore, they define a notion of average likelihood which extends the discrete notion of couple matchings and demonstrate it is minimal under indetermination. Eventually, they leverage this property to build up a statistical test to distinguish indetermination and estimate its efficiency using the Bahadur's slope.

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hal-03215096 , version 1 (03-05-2021)

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Pierre Bertrand, Michel Broniatowski, Jean-François Marcotorchino. Continuous indetermination and average likelihood minimization. 2021. ⟨hal-03215096⟩
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