Rates of Convergence
This chapter gives some results on rates of convergence of M-estimators, including maximum likelihood estimators and least-squares estimators. We first state an abstract result, which is a generalization of the theorem on rates of convergence in Chapter 3.2, and next discuss some methods to establish the maximal inequalities needed for the application of this result. Our main interest is in M-estimators of infinite-dimensional parameters.
KeywordsMaximum Likelihood Estimator Regression Function Empirical Process Maximal Inequality Hellinger Distance
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