M-estimators of structural parameters in pseudolinear models

Real valued M-estimators in a statistical model 1 with observations are replaced by -valued M-estimators in a new model with observations where are regressors, is a structural parameter and a structural function of the new model. Sufficient conditions for the consistency of are derived, motivated by the sufficiency conditions for the simpler parent estimator The result is a general method of consistent estimation in a class of nonlinear (pseudolinear) statistical problems. If F has a natural exponential density e^{x–b( x )} then our pseudolinear model with u = (g o )^–1 reduces to the well known generalized linear model, provided () = db()/d and g is the so-called link function of the generalized linear model. General results are illustrated for special pairs and leading to some classical M-estimators of mathematical statistics, as well as to a new class of generalized -quantile estimators.