A moment inequality for Lq estimation

Iain M. Johnstone

Statistics & Probability Letters, 1991, vol. 12, issue 4, 289-290

Abstract: This note presents a simple moment inequality for use in Bayes and M-estimation with penalty function x-->xq, q[greater-or-equal, slanted]1. When q=1, it reduces to median X[less-than-or-equals, slant]2EX.

Keywords: Bayes; estimator; M-estimator; Holder's; inequality; measure; of; location (search for similar items in EconPapers)
Date: 1991
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