Consistency of MLE, LSE and M-estimation under mild conditions

Jin Zhang ()
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Jin Zhang: Yunnan University

Statistical Papers, 2020, vol. 61, issue 1, No 10, 189-199

Abstract: Abstract Consistency of estimation is a necessary and essential asymptotic property, but consistency of MLE, LSE and M-estimation remains unsolved satisfactorily in the general case. A commonly used “standard condition” is shown to be almost false. A unified mild condition of consistency is established in this paper, and it is often a sufficient and necessary condition.

Keywords: Asymptotics; Consistent estimator; Criterion function; Parameter estimation; Uniform convergence; 62F12 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s00362-017-0928-2

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