LAW OF THE ITERATED LOGARITHM AND INVARIANCE-PRINCIPLE FOR M-ESTIMATORS

Authors
HE XM WANG G
Citation
Xm. He et G. Wang, LAW OF THE ITERATED LOGARITHM AND INVARIANCE-PRINCIPLE FOR M-ESTIMATORS, Proceedings of the American Mathematical Society, 123(2), 1995, pp. 563-573
Citations number
27
Categorie Soggetti
Mathematics, General",Mathematics
Journal title
Proceedings of the American Mathematical Society → ACNP
ISSN journal
00029939
Volume
123
Issue
2
Year of publication
1995
Pages
563 - 573
Database
ISI
SICI code
0002-9939(1995)123:2<563:LOTILA>2.0.ZU;2-N
Abstract
We prove the law of the iterated logarithm for a general class of M-es timators which covers in particular robust M-estimators and S-estimato rs of multivariate location-scatter. We also obtain an almost sure inv ariance principle (Bahadur-type representation) for these estimators.