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M-Estimation for dependent random variables

✍ Scribed by Reinhard Furrer

Publisher: Elsevier Science
Year: 2002
Tongue: English
Weight: 90 KB
Volume: 57
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(02)00084-6

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✦ Synopsis

This paper discusses the consistency in the strong sense and essential uniqueness of M -estimation for dependent random variables. The hypotheses are based on the function deÿning implicitly the M -estimation as well as on its ÿrst derivative and its Hessian matrix. No explicit hypotheses on the random variables are necessary for consistency and uniqueness, thus the framework holds for any stochastic process.

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