On the asymptotic distribution of multivariate M-estimates

Raymond J. Carroll

Journal of Multivariate Analysis, 1978, vol. 8, issue 3, 361-371

Abstract: The asymptotic distribution of multivariate M-estimates is studied. It is shown that, in general, consistency leads to asymptotic normality and a Law of the Iterated Logarithm. The results are used to compute via matrix derivatives the asymptotic distribution of a class of estimates due to Maronna.

Keywords: Matrix; derivatives; robust; estimation; jackknife; multivariate; analysis; M-estimators (search for similar items in EconPapers)
Date: 1978
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