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Consistency of Generalized M-Estimators

Zaman, Asad (1981) Consistency of Generalized M-Estimators. Social Science Working Paper, 390. California Institute of Technology , Pasadena, CA.

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The consistency of M-estimators in a very general setup is proven under weak assumptions. A one-dimensional result using a quasiconvexity assumption is obtained and applied to get a result on consistency of redescending M-estimators. A result valid in higher dimensions is obtained using a law of large numbers for semicontinuous function-valued random variables. This is applied to minimum absolute deviation regression.

Item Type:Report or Paper (Working Paper)
Additional Information:I would like to thank Professor Robert L. Taylor for guiding me through Banach space versions of the law of large numbers.
Group:Social Science Working Papers
Series Name:Social Science Working Paper
Issue or Number:390
Record Number:CaltechAUTHORS:20171005-131210701
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Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:82119
Deposited By: Jacquelyn Bussone
Deposited On:06 Oct 2017 19:59
Last Modified:03 Oct 2019 18:50

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