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Article: General M-estimation and its bootstrap

TitleGeneral M-estimation and its bootstrap
Authors
KeywordsGaussian Process
M -Estimation
M Out Of N Bootstrap
Issue Date2012
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/inca/713925
Citation
Journal Of The Korean Statistical Society, 2012, v. 41 n. 4, p. 471-490 How to Cite?
AbstractIn M-estimation problems involving estimands in Banach spaces, the M-estimators, when appropriately centred and normed, are shown to converge weakly to maximizers of Gaussian processes under rather general conditions. The conventional bootstrap method fails in general to consistently estimate the limit law. We show that the m out of n bootstrap, on the other hand, is weakly consistent under conditions similar to those required for weak convergence of the M-estimators. Strong consistency is also proved under more stringent conditions. Examples of applications are given to illustrate the generality of our results. © 2012 The Korean Statistical Society.
Persistent Identifierhttp://hdl.handle.net/10722/172492
ISSN
2015 Impact Factor: 0.353
2015 SCImago Journal Rankings: 0.392
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorLee, SMSen_US
dc.date.accessioned2012-10-30T06:22:47Z-
dc.date.available2012-10-30T06:22:47Z-
dc.date.issued2012en_US
dc.identifier.citationJournal Of The Korean Statistical Society, 2012, v. 41 n. 4, p. 471-490en_US
dc.identifier.issn1226-3192en_US
dc.identifier.urihttp://hdl.handle.net/10722/172492-
dc.description.abstractIn M-estimation problems involving estimands in Banach spaces, the M-estimators, when appropriately centred and normed, are shown to converge weakly to maximizers of Gaussian processes under rather general conditions. The conventional bootstrap method fails in general to consistently estimate the limit law. We show that the m out of n bootstrap, on the other hand, is weakly consistent under conditions similar to those required for weak convergence of the M-estimators. Strong consistency is also proved under more stringent conditions. Examples of applications are given to illustrate the generality of our results. © 2012 The Korean Statistical Society.en_US
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/inca/713925en_US
dc.relation.ispartofJournal of the Korean Statistical Societyen_US
dc.subjectGaussian Processen_US
dc.subjectM -Estimationen_US
dc.subjectM Out Of N Bootstrapen_US
dc.titleGeneral M-estimation and its bootstrapen_US
dc.typeArticleen_US
dc.identifier.emailLee, SMS: smslee@hku.hken_US
dc.identifier.authorityLee, SMS=rp00726en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1016/j.jkss.2012.02.004en_US
dc.identifier.scopuseid_2-s2.0-84867646452en_US
dc.identifier.hkuros210025-
dc.identifier.isiWOS:000310942600006-
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridLee, SMS=24280225500en_US

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