Robust semiparametric M-estimation and the weighted bootstrap

Citations of this article
Mendeley users who have this article in their library.


M-estimation is a widely used technique for statistical inference. In this paper, we study properties of ordinary and weighted M-estimators for semiparametric models, especially when there exist parameters that cannot be estimated at the √n convergence rate. Results on consistency, rates of convergence for all parameters, and √n consistency and asymptotic normality for the Euclidean parameters are provided. These results, together with a generic paradigm for studying semiparametric M-estimators, provide a valuable extension to previous related research on semiparametric maximum-likelihood estimators (MLEs). Although penalized M-estimation does not in general fit in the framework we discuss here, it is shown for a great variety of models that many of the forgoing results still hold, including the √n consistency and asymptotic normality of the Euclidean parameters. For semiparametric M-estimators that are not likelihood based, general inference procedures for the Euclidean parameters have not previously been developed. We demonstrate that our paradigm leads naturally to verification of the validity of the weighted bootstrap in this setting. For illustration, several examples are investigated in detail. The new M-estimation framework and accompanying weighted bootstrap technique shed light on a universal way of investigating semiparametric models. © 2004 Elsevier Inc. All rights reserved.




Ma, S., & Kosorok, M. R. (2005). Robust semiparametric M-estimation and the weighted bootstrap. Journal of Multivariate Analysis, 96(1), 190–217.

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free