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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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