Asymptotic normality of robust $M$-estimators with convex penalty

DOI10.1214/22-EJS2065MaRDI QIDQ2106774

Publication date: 19 December 2022

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.03826

zbMATH Keywords

asymptotic normality robust estimation high-dimensional statistics bias-correction M-estimator confidence Intervals Stein*s formula

Mathematics Subject Classification ID

Statistics (62-XX)

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Asymptotic normality of robust \(M\)-estimators with convex penalty