Characterizing M-estimators
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Date
2024-03
Publication Type
Journal Article
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yes
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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 allows us to leverage existing results on loss functions known from the literature on forecast evaluation in estimation theory. We exemplify advantageous implications for the fields of robust, efficient, equivariant and Pareto-optimal M-estimation.
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Publication status
published
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Journal / series
Volume
111 (1)
Pages / Article No.
339 - 346
Publisher
Oxford University Press
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Edition / version
Methods
Software
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Date collected
Date created
Subject
Characterization; Loss function; M-estimation; Strict consistency
Organisational unit
02204 - RiskLab / RiskLab
09816 - Ziegel, Johanna / Ziegel, Johanna