Moderate and Cramér-type large deviation theorems for M-estimators

J. Jurecková; W.C.M. Kallenberg; N. Veraverbeke

doi:10.1016/0167-7152(88)90119-8

Moderate and Cramér-type large deviation theorems for M-estimators

J. Jurecková, W.C.M. Kallenberg, N. Veraverbeke

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Abstract

The known central limit result for broad classes of M-estimators is refined to moderate and large deviation behaviour. The results are applied in relating the local inaccuracy rate and the asymptotic variance of M-estimators in the location and scale problem.

Original language	Undefined
Pages (from-to)	191-199
Journal	Statistics & probability letters
Volume	6
Issue number	3
DOIs	https://doi.org/10.1016/0167-7152(88)90119-8
Publication status	Published - 1988

Keywords

IR-70270

Access to Document

10.1016/0167-7152(88)90119-8

Jure88moderate

Cite this

@article{0f75cd050a8a4191a4ec5a11d3575497,

title = "Moderate and Cram{\'e}r-type large deviation theorems for M-estimators",

abstract = "The known central limit result for broad classes of M-estimators is refined to moderate and large deviation behaviour. The results are applied in relating the local inaccuracy rate and the asymptotic variance of M-estimators in the location and scale problem.",

keywords = "IR-70270",

author = "J. Jureckov{\'a} and W.C.M. Kallenberg and N. Veraverbeke",

year = "1988",

doi = "10.1016/0167-7152(88)90119-8",

language = "Undefined",

volume = "6",

pages = "191--199",

journal = "Statistics & probability letters",

issn = "0167-7152",

publisher = "Elsevier",

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T1 - Moderate and Cramér-type large deviation theorems for M-estimators

AU - Jurecková, J.

AU - Kallenberg, W.C.M.

AU - Veraverbeke, N.

PY - 1988

Y1 - 1988

N2 - The known central limit result for broad classes of M-estimators is refined to moderate and large deviation behaviour. The results are applied in relating the local inaccuracy rate and the asymptotic variance of M-estimators in the location and scale problem.

AB - The known central limit result for broad classes of M-estimators is refined to moderate and large deviation behaviour. The results are applied in relating the local inaccuracy rate and the asymptotic variance of M-estimators in the location and scale problem.

KW - IR-70270

U2 - 10.1016/0167-7152(88)90119-8

DO - 10.1016/0167-7152(88)90119-8

M3 - Article

SN - 0167-7152

VL - 6

SP - 191

EP - 199

JO - Statistics & probability letters

JF - Statistics & probability letters

IS - 3

ER -