Moment convergence of M‐estimators

Yoichi Nishiyama

Statistica Neerlandica, 2010, vol. 64, issue 4, 505-507

Abstract: This study extends the rate of convergence theorem of M‐estimators presented by van der Vaart and Wellner (weak convergence and empirical processes: with applications to statistics, Springer‐Verlag, Newyork, 1996) who gave a result of the form r to a result of the form supnE | r , for any p≥1. This result is useful for deriving the moment convergence of the rescaled residual. An application to maximum likelihood estimators is discussed.

Date: 2010
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