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A Berry–Esséen Bound for M‐estimators
Author(s) -
Bentkus V.,
Bloznelis M.,
Götze F.
Publication year - 1997
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/1467-9469.00076
Subject(s) - mathematics , berry , estimator , statistics , humanities , horticulture , philosophy , biology
We prove a Berry–Esséen bound for general M‐estimators under optimal regularity conditions on the score function and the underlying distribution. As an application we obtain Berry–Esséen bounds for the sample median, the L p ‐median, p > 1 and Huber's estimator of location