Characterizing M-estimators
Statistics Theory
2023-05-10 v1 Econometrics
Statistics Theory
Abstract
We characterize the full classes of M-estimators for semiparametric models of general functionals by formally connecting the theory of consistent loss functions from forecast evaluation with the theory of M-estimation. This novel characterization result opens up the possibility for theoretical research on efficient and equivariant M-estimation and, more generally, it allows to leverage existing results on loss functions known from the literature of forecast evaluation in estimation theory.
Keywords
Cite
@article{arxiv.2208.08108,
title = {Characterizing M-estimators},
author = {Timo Dimitriadis and Tobias Fissler and Johanna Ziegel},
journal= {arXiv preprint arXiv:2208.08108},
year = {2023}
}
Comments
arXiv admin note: substantial text overlap with arXiv:2010.14146