Conditions of Asymptotic Normality of One-Step M-Estimators

Yu Yu Linke; A. I. Sakhanenko

doi:10.1007/s10958-018-3730-3

Conditions of Asymptotic Normality of One-Step M-Estimators

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Abstract

In the case of independent identically distributed observations, we study the asymptotic properties of one-step M-estimators served as explicit approximations of consistent M-estimators. We find rather general conditions for the asymptotic normality of one-step M-estimators. We consider Fisher’s approximations of consistent maximum likelihood estimators and find general conditions guaranteeing the asymptotic normality of the Fisher estimators even in the case where maximum likelihood estimators do not necessarily exist or are not necessarily consistent.

Original language	English
Pages (from-to)	95-111
Number of pages	17
Journal	Journal of Mathematical Sciences (United States)
Volume	230
Issue number	1
DOIs	https://doi.org/10.1007/s10958-018-3730-3
Publication status	Published - 1 Apr 2018

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