Law of the Iterated Logarithm and Invariance Principle for M-Estimators

DOI10.2307/2160915zbMath0855.62017OpenAlexW4252663054MaRDI QIDQ4318443

Gang Wang, Xuming He

Publication date: 9 February 1997

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2160915

zbMATH Keywords

Bahadur representationlaw of the iterated logarithmstrong invariance principlealmost sure invariance principle\(S\)-estimatorsmultivariate \(M\)-estimatorsrobust \(M\)-estimators of multivariate location and scatter

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)

Related Items (8)

A general Bahadur representation of \(M\)-estimators and its application to linear regression with nonstochastic designs ⋮ Asymptotics of generalized \(M\)-estimation of regression and scale with fixed carriers, in an approximately linear model ⋮ Limit theorems for deviation means of independent and identically distributed random variables ⋮ Catoni-style confidence sequences for heavy-tailed mean estimation ⋮ Bahadur-Kiefer representations for GM-estimators in linear Markov models with errors in variables ⋮ Law of iterated logarithm and model selection consistency for generalized linear models with independent and dependent responses ⋮ Bahadur representation of \(M_m\) estimates ⋮ On rates of convergence for sample average approximations in the almost sure sense and in mean

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