Approximations for marginal densities of M‐estimators

DOI10.2307/3315444zbMath0833.62014OpenAlexW2075884590MaRDI QIDQ4855334

C. A. Field, Rocky Y. K. Fan

Publication date: 20 March 1996

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3315444

zbMATH Keywords

\(M\)-estimatorregressionsaddle-point approximationmarginal densityfinite-sample properties

Mathematics Subject Classification ID

Point estimation (62F10) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (5)

Robust and accurate inference for generalized linear models ⋮ Robust regression and small sample confidence intervals ⋮ Robust inference by influence functions ⋮ Saddlepoint approximations and tests based on multivariate \(M\)-estimates. ⋮ Applied regression analysis bibliography update 1994-97

Cites Work

• Small sample asymptotic expansions for multivariate M-estimates
• An invariance property of marginal density and tail probability approximations for smooth functions
• Small-Sample Confidence Intervals
• Approximate marginal densities of nonlinear functions
• Laplace expansion for posterior densities of nonlinear functions of parameters
• Approximations of marginal tail probabilities for a class of smooth functions with applications to Bayesian and conditional inference
• Small-sample intervals for regression

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