On the strong consistency of asymptotic M-estimators

Details On the strong consistency of asymptotic M-estimators On the strong consistency of asymptotic M-estimators

2005-07-05

arxiv.org/abs/math/0507102v2

Journal of Statistical Planning and Inference 137, 9 (2007) 2774-2783

Mathematics

Statistics Theory

Accepted for publication in Journal of Statistical Planning and Inference

Scientific paper

10.1016/j.jspi.2006.09.027

The aim of this article is to simplify Pfanzagl's proof of consistency for
asymptotic maximum likelihood estimators, and to extend it to more general
asymptotic M-estimators. The method relies on the existence of a sort of
contraction of the parameter space which admits the true parameter as a fixed
point. The proofs are short and elementary.

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