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A remark on approximate M-estimators

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  • Arcones, Miguel A.

Abstract

An approximate M-estimator is defined as a value that minimizes certain random function up to a [var epsilon]n, where {[var epsilon]n} is a sequence of real numbers converging to zero. We determine the rate of [var epsilon]n so that the approximate M-estimator is asymptotically normal with rate n1/2. Our results apply to common M-estimators such as the least absolute deviations estimator for the linear model.

Suggested Citation

  • Arcones, Miguel A., 1998. "A remark on approximate M-estimators," Statistics & Probability Letters, Elsevier, vol. 38(4), pages 311-321, July.
    • Handle: RePEc:eee:stapro:v:38:y:1998:i:4:p:311-321
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    Keywords

    M-estimators LAD regression;

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