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A Central Limit Theorem for M‐estimators by the von Mises Method

 

作者: C.C. Heesterman,   R.D. Gill,  

 

期刊: Statistica Neerlandica  （WILEY Available online 1992）
卷期: Volume 46, issue 2‐3  

页码: 165-177

 

ISSN:0039-0402

 

年代: 1992

 

DOI:10.1111/j.1467-9574.1992.tb01335.x

 

出版商: Blackwell Publishing Ltd

 

关键词: Asymptotic normality of M‐estimators;compact differentiation;Hadamard differentiation;delta‐method;M‐estimator;von Mises functional

 

数据来源: WILEY

 

摘要:

Asymptotic normality of M‐ or maximum likelihood type estimators was established in a classic paper by Huber (1967). Reeds (1976) argued that this could have been obtained simply as an application of the delta‐method, using the tool of compactly differentiating von Mises functionals with respect to the empirical distribution function Fn. His proof however contains some errors and has been largely ignored. A corrected version of the proof is gi

 

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