A Central Limit Theorem for M‐estimators by the von Mises Method

C.C. Heesterman and R.D. Gill

Statistica Neerlandica, 1992, vol. 46, issue 2‐3, 165-177

Abstract: Asymptotic normality of M‐ or maximum likelihood type estimators was established in a classic paper by Huber (1967). Reeds (1976) argued that this could have been obtained simply as an application of the delta‐method, using the tool of compactly differentiating von Mises functionals with respect to the empirical distribution function Fn. His proof however contains some errors and has been largely ignored. A corrected version of the proof is given.

Date: 1992
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