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Effect of the initial estimator on the asymptotic behavior of one-step M-estimator

  • Estimation
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Abstract

For a general (real) parameter, let M nbe the M-estimator and M n (1) be its one-step version (based on a suitable initial estimator M n (0)). It is known that, under certain regularity conditions, n(M n (1)-M n)=O p(1). The asymptotic distribution of n(M n (1)-M n) is studied; it is typically non-normal and it reveals the role of the initial estimator M n (0).

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Authors and Affiliations

  1. Department of Probability and Mathematical Statistics, Charles University, Sokolovská 83, 186 00, Progue 8, Czechoslovakia

    Jana Jurečková

  2. Department of Biostatistics 201 H, University of North Carolina at Chapel Hill, 27514, Chapel Hill, NC, U.S.A.

    Pranab Kumar Sen

Authors
  1. Jana Jurečková
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  2. Pranab Kumar Sen
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Additional information

Work of this author was partially supported by the Office of Naval Research, Contract No. N00014-83-K-0387

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Jurečková, J., Sen, P.K. Effect of the initial estimator on the asymptotic behavior of one-step M-estimator. Ann Inst Stat Math 42, 345–357 (1990). https://doi.org/10.1007/BF00050841

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  • DOI: https://doi.org/10.1007/BF00050841

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