A remark on approximate M-estimators

Miguel A. Arcones

Statistics & Probability Letters, 1998, vol. 38, issue 4, 311-321

Abstract: An approximate M-estimator is defined as a value that minimizes certain random function up to a [var epsilon]n, where {[var epsilon]n} is a sequence of real numbers converging to zero. We determine the rate of [var epsilon]n so that the approximate M-estimator is asymptotically normal with rate n1/2. Our results apply to common M-estimators such as the least absolute deviations estimator for the linear model.

Keywords: M-estimators; LAD; regression (search for similar items in EconPapers)
Date: 1998
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