On the Asymptotic Distribution of Multivariate M-Estimates.
NORTH CAROLINA UNIV AT CHAPEL HILL DEPT OF STATISTICS
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The asymptotic distribution of multivariate M-estimates is studied. It is shown that, in general, consistency leads to asymptotic normality and a law of the iterated logarithm. The results are used to compute via matrix drivatives the asymptotic distribution of a class of estimates.
- Statistics and Probability