Asymptotics for \(M\)-estimators defined by convex minimization (Q1206721)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotics for \(M\)-estimators defined by convex minimization |
scientific article |
Statements
Asymptotics for \(M\)-estimators defined by convex minimization (English)
0 references
1 April 1993
0 references
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.
0 references
LAD estimators
0 references
bounds on the rate of convergence
0 references
Hölder condition
0 references
accuracy of approximation
0 references
convex minimization
0 references
least absolute deviations
0 references
Bahadur representation
0 references
\(M\)-estimator
0 references
Bahadur-type strong approximation
0 references
