M-estimators converging to a stable limit

JOURNAL OF MULTIVARIATE ANALYSIS

卷:74

Article

Arcones, MA

关键词: M-estimators;    delta method;    stable distributions;   

DOI  :  10.1006/jmva.1999.1886

来源: Elsevier

【 摘 要 】

We discuss the asymptotic linearization of multivariate M-estimators, when the limit distribution is stable. We consider two different types of kernels: VC and bracketing. When applied to the case of normal limits, our work improves the known results to obtain the limit distribution of M-estimators. We give weak conditions for the asymptotic normality of M-estimators over differentiable kernels. To obtain these results, we present an inequality on empirical processes satisfying a bracketing condition with respect to a norm smaller than the L-2 norm. (C) 2000 Academic Press. AMS 1991 subject classifications: primary 67F12, secondary 62E20.

【 授权许可】

Free