Small sample asymptotic expansions for multivariate M-estimates

DOI10.1214/AOS/1176345864zbMATH Open0515.62024OpenAlexW2014952666MaRDI QIDQ1052001FDOQ1052001

Authors: J. Blot 

Publication date: 1982

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176345864

zbMATH Keywords

robust estimationTaylor expansionlocal approximationsmultivariate Edgeworth expansiondirect and indirect Edgeworth expansionsmultivariate M-estimatessaddlepoint techniquesmall sample asymptotic expansionsstudentizing

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

Cited In (33)

• Approximations for marginal densities of M‐estimators
• Higher order density approximations for solutions to estimating equations
• Robust regression and small sample confidence intervals
• Likelihood and higher‐order approximations to tail areas: A review and annotated bibliography
• Exponential bounds for minimum contrast estimators
• Almost exact distributions of estimators I-low dimensional nonlinear regression
• Saddlepoint approximations for nonlinear statistics
• Calibrated bootstrap and saddlepoint approximations of finite population \(L\)-statistics
• Invited discussion paper small-sample distributional properties of nonlinear regression estimators (a geometric approach)
• Robust tests based on dual divergence estimators and saddlepoint approximations
• Asymptotics of generalized \(M\)-estimation of regression and scale with fixed carriers, in an approximately linear model
• Small sample asymptotics: A review with applications to robust statistics
• On the bootstrap and the trimmed mean
• Saddlepoint approximation in the linear structural relationship model
• The empirical saddlepoint estimator
• RELATIVE ERROR ACCURATE STATISTIC BASED ON NONPARAMETRIC LIKELIHOOD
• Saddlepoint expansions for GEL estimators
• Stable Asymptotics for M‐estimators
• Saddlepoint approximations for short and long memory time series: a frequency domain approach
• Saddlepoint approximations and tests based on multivariate \(M\)-estimates.
• Saddlepoint approximations to the distribution of the total distance of the multivariate isotropic and von Mises-Fisher random walks
• One‐step M‐estimators in the linear model, with dependent errors
• Approach to normality of mean and M-estimators of location
• Special cases of second order Wiener germ approximations
• Multivariate saddlepoint tests on the mean direction of the von Mises-Fisher distribution
• Transformations of multivariate Edgeworth type expansions
• On some connections between Esscher's tilting, saddlepoint approximations, and optimal transportation: a statistical perspective
• The density of multivariate \(M\)-estimates.
• Saddlepoint approximations for curved exponential families
• On large deviation expansion of distribution of maximum likelihood estimator and its application in large sample estimation
• Inference functions and quadratic score tests
• A tail area influence function and its application to testing
• Multivariate Saddlepoint test for the wrapped normal model

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