Characterizing M-estimators

• Tác giả: Timo Dimitriadis, Tobias Fissler, Johanna Ziegel
• Ngôn ngữ: eng
• Ký hiệu phân loại: 522.4 Extrameridional instruments
• Thông tin xuất bản: 2022
• Bộ sưu tập: Metadata
• ID: 195631

Tóm tắt

Comment: arXiv admin note: substantial text overlap with arXiv:2010.14146We 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.