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Large deviations for M-estimators

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  • Miguel Arcones

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  • Miguel Arcones, 2006. "Large deviations for M-estimators," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 58(1), pages 21-52, March.
    • Handle: RePEc:spr:aistmt:v:58:y:2006:i:1:p:21-52
    DOI: 10.1007/s10463-005-0017-5
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    References listed on IDEAS

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    1. Rubin, Herman & Rukhin, Andrew L., 1983. "Convergence rates of large deviations probabilities for point estimators," Statistics & Probability Letters, Elsevier, vol. 1(4), pages 197-202, June.
    2. J. Fu & Gang Li & D. Zhao, 1993. "On large deviation expansion of distribution of maximum likelihood estimator and its application in large sample estimation," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(3), pages 477-498, September.
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    Cited by:

    1. Mátyás Barczy & Zsolt Páles, 2023. "Limit Theorems for Deviation Means of Independent and Identically Distributed Random Variables," Journal of Theoretical Probability, Springer, vol. 36(3), pages 1626-1666, September.
    2. Otsu, Taisuke, 2011. "Moderate deviations of generalized method of moments and empirical likelihood estimators," Journal of Multivariate Analysis, Elsevier, vol. 102(8), pages 1203-1216, September.
    3. Arcones Miguel A., 2007. "Minimax estimators of the coverage probability of the impermissible error for a location family," Statistics & Risk Modeling, De Gruyter, vol. 25(3), pages 173-215, July.
    4. Yuichi Akaoka & Kazuki Okamura & Yoshiki Otobe, 2022. "Bahadur efficiency of the maximum likelihood estimator and one-step estimator for quasi-arithmetic means of the Cauchy distribution," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(5), pages 895-923, October.

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