Nonsmooth analysis and Fréchet differentiability of M-functionals
Existence of the strict Fréchet derivative for statistical functionals is an advantage for it implies amongst other things properties of asymptotic normality and regular behaviour of statistical functionals in infinitesimal neighbourhoods, indicative of robustness. The derivative is stronger than weaker forms of derivative, proposed by other authors, which mostly rely on probabilistic error terms. In this paper techniques of nonsmooth analysis are introduced to the theory of statistical expansions in order to establish conditions for existence of Fréchet derivatives for common choices of robust M- functionals where the defining \(\Psi\)-functions have sharp corners. A new Glivenko-Cantelli result is also proved which is used to show one of the conditions to hold, and this may have wider applications.
- Nonsmooth Analysis: Differential Calculus of Nondifferentiable Mappings
- scientific article; zbMATH DE number 1341809
- Nonsmooth analysis and fractional differential equations
- Non-differentiable functionals and applications to elliptic problems with discontinuous nonlinearities
- Subdifferentiability spaces and nonsmooth analysis
- Mean value properties of nondifferentiation functions and their application in nonsmooth analysis
- scientific article; zbMATH DE number 3851793
- scientific article; zbMATH DE number 3888400
- scientific article; zbMATH DE number 688038
- A note on differentials and the CLT and LIL for statistical functions, with application to M-estimates
- Estimated sampling distributions: The bootstrap and competitors
- scientific article; zbMATH DE number 3211307 (Why is no real title available?)
- Optimization and nonsmooth analysis
- Robust Estimation of a Location Parameter
- Robust Statistics
- Small-sample asymptotic distributions of M-estimators of location
- The Influence Curve and Its Role in Robust Estimation
- Uniqueness and Fréchet differentiability of functional solutions to maximum likelihood type equations
- Von Mises calculus for statistical functionals
- Robust estimation of parameters in a mixed unbalanced model
- Robust inference by influence functions
- Fréchet and robust statistics
- Uniform asymptotics for robust location estimates when the scale is unknown
- On the convergence of Newton's method when estimating higher dimensional parameters
- Fréchet differentiability in statistical inference for time series
- Robust GMM tests for structural breaks
- scientific article; zbMATH DE number 4213218 (Why is no real title available?)
- Robust estimation in the multivariate normal model with variance components
- A non-smooth extension of Frechet differentiability of the norm with applications to numerical ranges
- scientific article; zbMATH DE number 1341809 (Why is no real title available?)
- Asymptotic representation of m-estimators and rate of convergence of one-step m-estimators for parametric models with shrinking contamination
- Bootstrapping analogs of the two-sample Hotelling's \(T^2\) test
- A Central Limit Theorem for M‐estimators by the von Mises Method
- scientific article; zbMATH DE number 775111 (Why is no real title available?)
- Higher-order infinitesimal robustness
- Privacy-preserving parametric inference: a case for robust statistics
- Bootstrapping analogs of the one way MANOVA test
- Generalized influence functions and robustness analysis
- Statistical inference for expectile-based risk measures
- Robust inference with GMM estimators
- Robust Two-Step Wavelet-Based Inference for Time Series Models
- Robust Inference and Modeling of Mean and Dispersion for Generalized Linear Models
- Robust statistics: a selective overview and new directions
- Uniqueness and Fréchet differentiability of functional solutions to maximum likelihood type equations
- Uniform asymptotics for S- and MM-regression estimators
This page was built for publication: Nonsmooth analysis and Fréchet differentiability of M-functionals
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1067681)
