Some strong limit theorems for M-estimators

DOI10.1016/0304-4149(94)90066-3MaRDI QIDQ1343580zbMATH OpenOpenAlexFDO

Authors Miguel A. Arcones

Publication date 21 April 1996

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(94)90066-3

zbMATH Keywords

Bahadur-Kiefer representationscubic root asymptoticsempirical processeslaws of the iterated logarithmM-estimatorsrates of convergenceTalagrand isoperimetric inequality

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)

Review text

Using the Talagrand isoperimetric inequality, the author establishes some laws of the iterated logarithm for empirical processes rescaled in the ``time parameter. These laws are applied to obtain the LIL for \(M\)- estimators with unusual rates of convergence (in particular, with cubic root asymptotics instead of the usual rate \(((n/2) \log \log n)^{1/2})\). Some Bahadur-Kiefer representations for \(M\)-estimators are also given even when the rate is not the standard one.

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Cites work

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Cited in

(9)

• Moderate and Cramér-type large deviation theorems for M-estimators
• M-estimators converging to a stable limit
• The Bahadur-Kiefer representation for \(U\)-quantiles
• Strong convergence of estimators in nonlinear autoregressive models
• The law of iterated logarithm for GMM estimators
• Minimax Form of the Law of the Iterated Logarithm for Statistical Estimates
• scientific article; zbMATH DE number 699490 (Why is no real title available?)
• Law of the Iterated Logarithm and Invariance Principle for M-Estimators
• Strong convergence of estimators as _n-minimisers of optimisation problems

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