Characterizing M-estimators

Timo Dimitriadis, Tobias Fissler and Johanna Ziegel

Papers from arXiv.org

Abstract: We characterize the full classes of M-estimators for semiparametric models of general functionals by formally connecting the theory of consistent loss functions from forecast evaluation with the theory of M-estimation. This novel characterization result opens up the possibility for theoretical research on efficient and equivariant M-estimation and, more generally, it allows to leverage existing results on loss functions known from the literature of forecast evaluation in estimation theory.

Date: 2022-08
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in 2023 Biometrika (forthcoming)

Downloads: (external link)
http://arxiv.org/pdf/2208.08108 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2208.08108

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().