Moment convergence of M‐estimators |
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Authors: | Yoichi Nishiyama |
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Institution: | The Institute of Statistical Mathematics, 10‐3 Midori‐cho, Tachikawa, Tokyo 190‐8562, Japan |
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Abstract: | This study extends the rate of convergence theorem of M‐estimators presented by van der Vaart and Wellner (weak convergence and empirical processes: with applications to statistics, Springer‐Verlag, Newyork, 1996) who gave a result of the form r to a result of the form supnE | r , for any p≥1. This result is useful for deriving the moment convergence of the rescaled residual. An application to maximum likelihood estimators is discussed. |
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Keywords: | M‐estimator rate of convergence moment convergence |
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