Last passage times of minimum contrast estimators

Authors
Bose, A Chatterjee, S
Citation
A. Bose et S. Chatterjee, Last passage times of minimum contrast estimators, J AUS MAT A, 71, 2001, pp. 1-10
Citations number
16
Categorie Soggetti
Mathematics
Journal title
JOURNAL OF THE AUSTRALIAN MATHEMATICAL SOCIETY SERIES A-PURE MATHEMATICS AND STATISTICS
ISSN journal
02636115 → ACNP
Volume
71
Year of publication
2001
Part
1
Pages
1 - 10
Database
ISI
SICI code
0263-6115(200108)71:<1:LPTOMC>2.0.ZU;2-W
Abstract
We study the last passage time and its asymptotic distribution for minimum contrast estimators defined through the minimization of a convex criterion function based on U-functionals. This includes cases of non-smooth estimato rs for vector valued parameters. We also derive a Bahadur-type representati on and the law of iterated logarithms for such estimators.