Large deviation and other results for minimum contrast estimators

DOI10.1023/A:1003708829482zbMath0954.62070OpenAlexW1980507355MaRDI QIDQ1293649

Jens Ledet Jensen, Andrew T. A. Wood

Publication date: 18 February 2001

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1003708829482

zbMATH Keywords

M-estimatorsintensityelliptical distributionexponentially smalllocation-scatter model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Large deviations (60F10)

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Moderate deviations for \(M\)-estimators ⋮ The empirical saddlepoint estimator ⋮ Higher order density approximations for solutions to estimating equations ⋮ Moderate deviations of minimum contrast estimators under contamination ⋮ Moderate deviations for estimators under exponentially stochastic differentiability conditions ⋮ Exponential bounds for minimum contrast estimators ⋮ Saddlepoint approximations and tests based on multivariate \(M\)-estimates. ⋮ Detecting rare and faint signals via thresholding maximum likelihood estimators ⋮ Large deviations of generalized method of moments and empirical likelihood estimators ⋮ Moderate deviations for M-estimators in linear models with \(\phi\)-mixing errors ⋮ Moderate deviations of generalized method of moments and empirical likelihood estimators ⋮ Large deviations for M-estimators ⋮ The density of multivariate \(M\)-estimates. ⋮ RELATIVE ERROR ACCURATE STATISTIC BASED ON NONPARAMETRIC LIKELIHOOD

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