On the asymptotic distribution of multivariate M-estimates

The asymptotic distribution of multivariate M-estimates is studied. It is shown that, in general, consistency leads to asymptotic normality and a Law of the Iterated Logarithm. The results are used to compute via matrix derivatives the asymptotic distribution of a class of estimates due to Maronna.

MoreLess

Year of publication:	1978
Authors:	Carroll, Raymond J.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 8.1978, 3, p. 361-371
Publisher:	Elsevier
Keywords:	Matrix derivatives robust estimation jackknife multivariate analysis M-estimators

More details

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

Persistent link: https://www.econbiz.de/10005221474