For a nondecreasing score function having finitely many jump discontinuities, a representation of $M$-estimators with the second-order asymptotic distribution is established, and the result is also extended to one-step versions of $M$-estimators.
Publié le : 1987-04-14
Classification:
Jump discontinuity,
$M$-estimator,
one-step version of $M$-estimator,
random change of time,
weak convergence of $M$-processes,
60F17,
62E20,
62F35,
62G05
@article{1176992174,
author = {Jureckova, Jana and Sen, Pranab Kumar},
title = {A Second-Order Asymptotic Distributional Representation of $M$-Estimators with Discontinuous Score Functions},
journal = {Ann. Probab.},
volume = {15},
number = {4},
year = {1987},
pages = { 814-823},
language = {en},
url = {http://dml.mathdoc.fr/item/1176992174}
}
Jureckova, Jana; Sen, Pranab Kumar. A Second-Order Asymptotic Distributional Representation of $M$-Estimators with Discontinuous Score Functions. Ann. Probab., Tome 15 (1987) no. 4, pp. 814-823. http://gdmltest.u-ga.fr/item/1176992174/