|
|||||
|
|
A Berry–Esséen Bound for M-estimators |
|
| Authors: | V. Bentkus,M. Bloznelis,& F. Gö tze |
| Affiliation: | Bielefeld University,;Vilnius University and Institute of Mathematics and Informatics, Lithuania |
| Abstract: | 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 |
| Keywords: | Berry–Esséen bound Huber's estimator maximum likelihood estimator M-estimator sample median |