Asymptotics for \(M\)-estimators defined by convex minimization (Q1206721): Difference between revisions

Let \(f(\alpha,Z)\) be a bivariate function convex in \(\alpha\). Suppose that \(Z_ 1,\dots,Z_ n\) is a sequence of i.i.d. random variables. An \(M\)-estimator \(\alpha_ n\) of the true parameter \(\alpha_ *\) is defined to be the minimizer of the random function \(n^{-1}\sum^ n_{i=1}f(\alpha,Z_ i)\). Under various conditions, some asymptotics of \(\alpha_ n\), such as its convergence rate and Bahadur-type strong approximation, are discussed.