Stable Asymptotics for M‐estimators |
| |
| Authors: | Davide La Vecchia |
| |
| Affiliation: | 1. Econometrics and Business Statistics Department, Monash University, Melbourne, Australia;2. School of Economics and Political Science, Institute of Mathematics and Statistics, University of St. Gallen, Sankt Gallen, Switzerland |
| |
| Abstract: | We review some first‐order and higher‐order asymptotic techniques for M‐estimators, and we study their stability in the presence of data contaminations. We show that the estimating function (ψ) and its derivative with respect to the parameter  play a central role. We discuss in detail the first‐order Gaussian density approximation, saddlepoint density approximation, saddlepoint test, tail area approximation via the Lugannani–Rice formula and empirical saddlepoint density approximation (a technique related to the empirical likelihood method). For all these asymptotics, we show that a bounded ψ (in the Euclidean norm) and a bounded  (e.g. in the Frobenius norm) yield stable inference in the presence of data contamination. We motivate and illustrate our findings by theoretical and numerical examples about the benchmark case of one‐dimensional location model. |
| |
| Keywords: | Edgeworth expansion empirical likelihood higher‐order infinitesimal robustness p‐value redescending M‐estimator relative error saddlepoint techniques von Mises expansion |
|
|
