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April, 1987 A Second-Order Asymptotic Distributional Representation of $M$-Estimators with Discontinuous Score Functions
Jana Jureckova, Pranab Kumar Sen
Ann. Probab. 15(2): 814-823 (April, 1987). DOI: 10.1214/aop/1176992174

Abstract

For a nondecreasing score function having finitely many jump discontinuities, a representation of $M$-estimators with the second-order asymptotic distribution is established, and the result is also extended to one-step versions of $M$-estimators.

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Jana Jureckova. Pranab Kumar Sen. "A Second-Order Asymptotic Distributional Representation of $M$-Estimators with Discontinuous Score Functions." Ann. Probab. 15 (2) 814 - 823, April, 1987. https://doi.org/10.1214/aop/1176992174

Information

Published: April, 1987
First available in Project Euclid: 19 April 2007

zbMATH: 0635.62017
MathSciNet: MR885146
Digital Object Identifier: 10.1214/aop/1176992174

Subjects:
Primary: 60F17
Secondary: 62E20 , 62F35 , 62G05

Keywords: $M$-estimator , Jump discontinuity , one-step version of $M$-estimator , random change of time , weak convergence of $M$-processes

Rights: Copyright © 1987 Institute of Mathematical Statistics

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Vol.15 • No. 2 • April, 1987
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