Moderate and Cramer-type large deviation theorems for M-estimators

J. Jurecková, W. C. M. Kallenberg and N. Veraverbeke

Statistics & Probability Letters, 1988, vol. 6, issue 3, 191-199

Abstract: The known central limit result for broad classes of M-estimators is refined to moderate and large deviation behaviour. The results are applied in relating the local inaccuracy rate and the asymptotic variance of M-estimators in the location and scale problem.

Keywords: moderate; deviations; Cramer; type; large; deviations; M-estimators; inaccuracy; rate; asymptotic; variance (search for similar items in EconPapers)
Date: 1988
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Citations: View citations in EconPapers (4)

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