ikosmidis / mestimation.jl

Methods for M-estimation of statistical models

MEstimation.jl

Methods for M-estimation of statistical models

Package description

MEstimation is a Julia package that implements M-estimation for statistical models (see, e.g. Stefanski and Boos, 2002, for an accessible review) either by solving estimating equations or by maximizing inference objectives, like likelihoods and composite likelihoods (see, Varin et al, 2011, for a review), using user-specified templates of just

1. the estimating function or the objective functions contributions
2. a function to compute the number of independent contributions in a given data set

A key feature is the use of those templates along with forward mode automatic differentiation (as implemented in ForwardDiff) to provide methods for reduced-bias M-estimation (RBM-estimation; see, Kosmidis & Lunardon, 2020).

See the documentation for more information, and the examples for a showcase of the functionality MEstimation provides.

See NEWS.md for changes, bug fixes and enhancements.

Authors

Ioannis Kosmidis	(author, maintainer)
Nicola Lunardon	(author)

References

• Varin C, Reid N, and Firth D (2011). An overview of composite likelihood methods. Statistica Sinica 21(1), 5-42. Link
• Kosmidis I, Lunardon N (2020). Empirical bias-reducing adjustments to estimating functions. ArXiv:2001.03786. Link
• Stefanski L A and Boos D D (2002). The calculus of M-estimation. The American Statistician(56), 29-38. Link

mestimation.jl's Issues

Improve show

• Support alternative standard errors
• Reduce computational work within show

Add support for other improved estimation and inference methods

• Mean and median bias reduction
• modified profile likelihoods
• Explicit and implicit det

Use DiffResults API to retrieve all derivatives in one fell swoop

See ForwardDiff documentation

Add profile method

Improve documentation

• Add descriptions of the arguments in the order they appear and keyword arguments
• Add more examples
• Document show and other internals (e.g. obj_quantities, ef_quantities)

Add support for explicit_det and implicit_det

Template enhancements

• Support for simulate functions
• Templates from modules

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Release v0.1.0

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