Law of the iterated logarithm and invariance principle for 𝑀-estimators

He, Xuming; Wang, Gang

doi:10.1090/S0002-9939-1995-1231036-7

Law of the iterated logarithm and invariance principle for $M$-estimators
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by Xuming He and Gang Wang

Proc. Amer. Math. Soc. 123 (1995), 563-573

DOI: https://doi.org/10.1090/S0002-9939-1995-1231036-7

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Abstract:

We prove the law of the iterated logarithm for a general class of M-estimators which covers in particular robust M-estimators and S-estimators of multivariate location-scatter. We also obtain an almost sure invariance principle (Bahadur-type representation) for these estimators.

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Sur les fonctions independantes

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