We consider $M$-estimators defined by minimization of a convex criterion function, not necessarily smooth. Our asymptotic results generalize some of those concerning the LAD estimators. We establish a Bahadur-type strong approximation and bounds on the rate of convergence.
Publié le : 1992-09-14
Classification:
$M$-estimation,
convex minimization,
asymptotics,
least absolute deviations,
Bahadur representation,
62F12,
62F20
@article{1176348782,
author = {Niemiro, Wojciech},
title = {Asymptotics for $M$-Estimators Defined by Convex Minimization},
journal = {Ann. Statist.},
volume = {20},
number = {1},
year = {1992},
pages = { 1514-1533},
language = {en},
url = {http://dml.mathdoc.fr/item/1176348782}
}
Niemiro, Wojciech. Asymptotics for $M$-Estimators Defined by Convex Minimization. Ann. Statist., Tome 20 (1992) no. 1, pp. 1514-1533. http://gdmltest.u-ga.fr/item/1176348782/