Abstract
General sufficient conditions for the moderate deviations of M-estimators are presented. These results are applied to many different types of M-estimators such as thep-th quantile, the spatial median, the least absolute deviation estimator in linear regression, maximum likelihood estimators and other location estimators. Moderate deviations theorems from empirical processes are applied.
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Arcones, M.A. Moderate deviations for M-estimators. Test 11, 465–500 (2002). https://doi.org/10.1007/BF02595717
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DOI: https://doi.org/10.1007/BF02595717