• Corpus ID: 238743795

Robust Generalized Method of Moments: A Finite Sample Viewpoint

@article{Rohatgi2021RobustGM,
  title={Robust Generalized Method of Moments: A Finite Sample Viewpoint},
  author={Dhruv Rohatgi and Vasilis Syrgkanis},
  journal={ArXiv},
  year={2021},
  volume={abs/2110.03070}
}
For many inference problems in statistics and econometrics, the unknown parameter is identified by a set of moment conditions. A generic method of solving moment conditions is the Generalized Method of Moments (GMM). However, classical GMM estimation is potentially very sensitive to outliers. Robustified GMM estimators have been developed in the past, but suffer from several drawbacks: computational intractability, poor dimension-dependence, and no quantitative recovery guarantees in the… 
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