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The American Statistician Volume 56, 2002 - Issue 1
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Primary Article

The Calculus of M-Estimation

Leonard A Stefanski Leonard A. Stefanski and Dennis D. Boos are Professors, Department of Statistics, North Carolina State University, Raleigh, NC 27695–8203 (E-mail addresses: . The authors thank the reviewers for suggestions that led to substantial improvements in the manuscript.
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Dennis D Boos Leonard A. Stefanski and Dennis D. Boos are Professors, Department of Statistics, North Carolina State University, Raleigh, NC 27695–8203 (E-mail addresses: . The authors thank the reviewers for suggestions that led to substantial improvements in the manuscript.
Pages 29-38 | Published online: 01 Jan 2012
 
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Abstract

Since the seminal papers by Huber in the 1960s, M-estimation methods (also known as estimating equation methods) have been increasingly important for asymptotic analysis and approximate inference. This article illustrates the breadth and generality of the M-estimation approach, thereby facilitating its use inpractice and in the classroom as a unifying approach to the study of large-sample inference.

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