Published June 1981
| Version Published
Working Paper
Open
Consistency of Generalized M-Estimators
Creators
Abstract
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.
Additional Information
I would like to thank Professor Robert L. Taylor for guiding me through Banach space versions of the law of large numbers.Attached Files
Published - sswp390.pdf
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sswp390.pdf
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Additional details
Identifiers
- Eprint ID
- 82119
- Resolver ID
- CaltechAUTHORS:20171005-131210701
Dates
- Created
-
2017-10-06Created from EPrint's datestamp field
- Updated
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2019-10-03Created from EPrint's last_modified field
Caltech Custom Metadata
- Caltech groups
- Social Science Working Papers
- Series Name
- Social Science Working Paper
- Series Volume or Issue Number
- 390