• Mathematics
  • Published 1997

General M-estimation

  title={General M-estimation},
  author={Z. D. Bai and Yuehua Wu},
In this paper, a general form of M-estimation is proposed and some asymptotics are investigated. The model covers all linear and nonlinear regression models, AR time series, EIVR models, etc. as its special cases. The dispersion functions may be convex or differences of convex functions, the later covers almost all useful choices of the dispersion functions. 


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