Rate of convergence of one- and two-step M-estimators with applications to maximum likelihood and Pitman estimators

DOI10.1214/AOS/1176349666zbMATH Open0585.62057OpenAlexW2050213751MaRDI QIDQ1070697FDOQ1070697

Authors: Paul Janssen, Jana Jurečková, Noël Veraverbeke 

Publication date: 1985

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

Full work available at URL: https://doi.org/10.1214/aos/1176349666

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zbMATH Keywords

maximum likelihood estimationone-step versionsecond-order efficiencygeneral M-estimatorPitman estimator of locationsecond-order asymptotic linearitytwo-step version

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05)

Cited In (22)

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• Refinement of Fisher's one-step estimators in the case of slowly converging initial estimators
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• The asymptotics for studentized K-Step M-Estimators of location
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• Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models
• On Existence of Explicit Asymptotically Normal Estimators in Nonlinear Regression Problems
• Rate of convergence of \(k\)-step Newton estimators to efficient likelihood estimators
• Characterization of distributions in invariant models
• Sequential interval estimation based on generalized M-statistics with piecewise-smooth influence curves
• One-stepM-estimators: Jones and Faddy's skewedt-distribution
• Effect of the initial estimator on the asymptotic behavior of one-step M- estimator
• Asymptotic representation of m-estimators and rate of convergence of one-step m-estimators for parametric models with shrinking contamination
• Bahadur efficiency of the maximum likelihood estimator and one-step estimator for quasi-arithmetic means of the Cauchy distribution
• Asymptotic representation of L-estimators and their relations to M-estimators
• Asymptotics for one-step m-estimators in regression with application to combining efficiency and high breakdown point
• Conditions of Asymptotic Normality of One-Step M-Estimators
• Asymptotic properties of one-step weighted \(M\)-estimators with applications to regression
• Asymptotic relation of M-and P-estimators of location
• EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND

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