We consider the profile score function in models with smooth and parametric components. If local respectively weighted likelihood estimation is used for fitting the smooth component, the resulting profile likelihood estimate for the parametric component is asymptotically efficient as shown in T....

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.