Field, Chris; Robinson, John; Ronchetti, Elvezio - Institut d'Economie et Econométrie, Université de Genève - 2004
We consider tests or confidence intervals on one of the components of multivariate M-estimates. We obtain marginal tail area approximations for the one-dimensional test statistic based on the appropriate component of the M-estimate for both standardized and Studentized versions. The result is...