Abstract
k-step versions Mn (k) of studentized M-estimator Mn of location generated by various types of score functions are studied. The rate of approximation of Mn by Mn (k) (n → ∞, k fixed) is derived with the aid of the uniform asymptotic linearity results of three-parameters empirical M-processes. While the rate is considerably improved with increasing k for absolutely continuous score functions, it is improved very slowly for functions with jump-discontinuities where it can never be better than Op(n-1).
Research of the first author was supported by Charles University Grant GAUK-365
Research of the first author was supported by Charles University Grant GAUK-365
Notes
Research of the first author was supported by Charles University Grant GAUK-365