Local M-estimation with discontinuous criterion for dependent and limited observations

DOI10.1214/17-AOS1552MaRDI QIDQ1747741zbMATH OpenOpenAlexFDO

Authors Myung Hwan Seo, Taisuke Otsu

Publication date 27 April 2018

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

Full work available at URL https://arxiv.org/abs/1610.02753

zbMATH Keywords

cube root asymptoticsmaximal inequalitypartial identificationmixing processparameter-dependent localization

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Functional limit theorems; invariance principles (60F17)

Abstract: This paper examines asymptotic properties of local M-estimators under three sets of high-level conditions. These conditions are sufficiently general to cover the minimum volume predictive region, conditional maximum score estimator for a panel data discrete choice model, and many other widely used estimators in statistics and econometrics. Specifically, they allow for discontinuous criterion functions of weakly dependent observations, which may be localized by kernel smoothing and contain nuisance parameters whose dimension may grow to infinity. Furthermore, the localization can occur around parameter values rather than around a fixed point and the observation may take limited values, which leads to set estimators. Our theory produces three different nonparametric cube root rates and enables valid inference for the local M-estimators, building on novel maximal inequalities for weakly dependent data. Our results include the standard cube root asymptotics as a special case. To illustrate the usefulness of our results, we verify our conditions for various examples such as the Hough transform estimator with diminishing bandwidth, maximum score-type set estimator, and many others.

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Cited in

(9)

• Factor-driven two-regime regression
• Robust inference for threshold regression models
• Optimal linear discriminators for the discrete choice model in growing dimensions
• Local M-estimation with discontinuous criterion for dependent and limited observations
• Best subset binary prediction
• Semiparametric identification and estimation of discrete choice models for bundles
• Bootstrap-assisted inference for generalized Grenander-type estimators
• Testing stochastic dominance with many conditioning variables
• Quantile regression approach to conditional mode estimation

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