Asymptotics of Estimating Equations under Natural Conditions

Ke-Hai Yuan and Robert I. Jennrich

Journal of Multivariate Analysis, 1998, vol. 65, issue 2, 245-260

Abstract: In a variety of statistical problems one needs to solve an equation in order to get an estimator. We consider the large sample properties of such estimators generated from samples that are not necessarily identically distributed. Very general assumptions that lead to the existence, strong consistency, and asymptotic normality of the estimators are given. A number of results that are useful in verifying the general assumptions are given and an example illustrates their use. General applications to maximum likelihood, iteratively reweighted least squares, and robust estimation are discussed briefly.

Keywords: Consistent solution; asymptotic normality; multivariate data; nonidentically distributed data; maximum likelihood; iteratively reweighted least squares; robust estimation (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (29)

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