A remark on approximate M-estimators

An approximate M-estimator is defined as a value that minimizes certain random function up to a [var epsilon]n, where {[var epsilon]n} is a sequence of real numbers converging to zero. We determine the rate of [var epsilon]n so that the approximate M-estimator is asymptotically normal with rate n1/2. Our results apply to common M-estimators such as the least absolute deviations estimator for the linear model.

MoreLess

Year of publication:	1998
Authors:	Arcones, Miguel A.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 38.1998, 4, p. 311-321
Publisher:	Elsevier
Subject:	M-estimators LAD regression

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138135