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most citedDo We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction

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math.OC2019

Constrained Polynomial Likelihood

Caio Almeida, Ricardo Masini, Paul Schneider

We develop a non-negative polynomial minimum-norm likelihood ratio (PLR) of two distributions of which only moments are known. The sample PLR converges to the unknown population PL…