Large deviations for M-estimators

DOI10.1007/S10463-005-0017-5MaRDI QIDQ2502131zbMATH OpenOpenAlexFDO

Authors Miguel A. Arcones

Publication date 12 September 2006

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-005-0017-5

zbMATH Keywords

Empirical processesKullback-Leibler informationLarge deviationsM-estimatorsMaximum likelihood estimators

Mathematics Subject Classification ID

Large deviations (60F10) Asymptotic properties of parametric estimators (62F12) Parametric tolerance and confidence regions (62F25) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)

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Cites work

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Cited in

(23)

• Large deviations of estimators
• Moderate and Cramér-type large deviation theorems for M-estimators
• Large deviation and other results for minimum contrast estimators
• Some strong limit theorems for M-estimators
• Chernoff index for Cox test of separate parametric families
• Large deviations behavior for the quadratic error of density estimate
• Large deviation principle for moment map estimation
• An inverse Sanov theorem for exponential families
• Bahadur efficiency of the maximum likelihood estimator and one-step estimator for quasi-arithmetic means of the Cauchy distribution
• Statistical inference for the intensity in a partially observed jump diffusion
• Large deviations for estimators of some threshold parameters
• On some connections between Esscher's tilting, saddlepoint approximations, and optimal transportation: a statistical perspective
• Large deviations of generalized method of moments and empirical likelihood estimators
• Large-Deviations Theory and Empirical Estimator Choice
• scientific article; zbMATH DE number 3996859 (Why is no real title available?)
• Minimax estimators of the coverage probability of the impermissible error for a location family
• Delta method in large deviations and moderate deviations for estimators
• Moderate deviations of generalized method of moments and empirical likelihood estimators
• Limit theorems for deviation means of independent and identically distributed random variables
• Moderate deviations inequalities for Gaussian process regression
• Block empirical likelihood inference for stochastic bounding: large deviations asymptotics under m-dependence
• Large deviations for \(M\)-estimators
• Large deviation principle for moderate deviation probabilities of bootstrap empirical measures

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