Rates of convergence in the asymptotic normality for some local maximum estimators (Q1366379)
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| Language | Label | Description | Also known as |
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| English | Rates of convergence in the asymptotic normality for some local maximum estimators |
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Rates of convergence in the asymptotic normality for some local maximum estimators (English)
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29 October 1997
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Asymptotic normality of estimators defined by maximizing a random criterion function is considered. Assuming smooth stochastic differentiability (stronger than the Hoffmann-Jørgensen stochastic differentiability) of the criterion function the author derives the rate of convergence in a general result on asymptotic normality of local maximum estimators. Examples and applications of the results, including Huber's \(M\)-estimate, are given.
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central limit theorem
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empirical process
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\(M\)-estimate
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smooth stochastic differentiability
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