Moment convergence of M-estimators
Article first published online: 22 JUL 2010
© 2010 The Author. Statistica Neerlandica © 2010 VVS
Volume 64, Issue 4, pages 505–507, November 2010
How to Cite
Nishiyama, Y. (2010), Moment convergence of M-estimators. Statistica Neerlandica, 64: 505–507. doi: 10.1111/j.1467-9574.2010.00469.x
- Issue published online: 22 JUL 2010
- Article first published online: 22 JUL 2010
- Received: January 2009. Revised: June 2010.
- rate of convergence;
- moment convergence
This study extends the rate of convergence theorem of M-estimators presented by van der Vaart and Wellner (weak convergence and empirical processes: with applications to statistics, Springer-Verlag, Newyork, 1996) who gave a result of the form r to a result of the form supnE | r , for any p≥1. This result is useful for deriving the moment convergence of the rescaled residual. An application to maximum likelihood estimators is discussed.