| Abstract: | We develop a saddle-point approximation for the marginal density of a real-valued function p(), where is a general M-estimator of a p-dimensional parameter, that is, the solution of the system {n-1ljl (Yl,) = 0}j=1,…,p. The approximation is applied to several regression problems and yields very good accuracy for small samples. This enables us to compare different classes of estimators according to their finite-sample properties and to determine when asymptotic approximations are useful in practice. |
