Last passage times of minimum contrast estimators

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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 estimators for vector valued parameters. We also derive a Bahadur-type representation and the law of iterated logarithms for such estimators.

Original languageEnglish (US)
Pages (from-to)1-10
Number of pages10
JournalJournal of the Australian Mathematical Society
Volume71
Issue number1
StatePublished - Aug 1 2001

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Keywords

  • Bahadur representation
  • L median
  • Last passage time
  • Law of iterated logarithms
  • Minimum contrast estimators
  • Oja median

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