M-Estimators Converging to a Stable Limit |
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Authors: | Miguel A Arcones |
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Institution: | Department of Mathematical Sciences, State University of New York |
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Abstract: | We discuss the asymptotic linearization of multivariate M-estimators, when the limit distribution is stable. We consider two different types of kernels: VC and bracketing. When applied to the case of normal limits, our work improves the known results to obtain the limit distribution of M-estimators. We give weak conditions for the asymptotic normality of M-estimators over differentiable kernels. To obtain these results, we present an inequality on empirical processes satisfying a bracketing condition with respect to a norm smaller than the L2 norm. |
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Keywords: | M-estimators delta method stable distributions |
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