Some strong limit theorems for M-estimators

Miguel A. Arcones

Stochastic Processes and their Applications, 1994, vol. 53, issue 2, 241-268

Abstract: Some laws of the iterated logarithm for empirical processes rescaled in the "time" parameter are presented. These laws of the iterated logarithm are applied to obtain strong limit theorems for M-estimators. In particular, a law of the iterated logarithm for M-estimators with unusual rates of convergence (in particular with cubic root asymptotics) is considered. We also obtain some Bahadur-Kiefer representations for M-estimators with unusual order.

Keywords: M-estimator; Empirical; process; Law; of; the; iterated; logarithm; Bahadur-Kiefer; representation; Lp-median; Reproducing; kernel; Hilbert; space (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (3)

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