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Consistency of MLE, LSE and M-estimation under mild conditions

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  • Jin Zhang

    (Yunnan University)

Abstract

Consistency of estimation is a necessary and essential asymptotic property, but consistency of MLE, LSE and M-estimation remains unsolved satisfactorily in the general case. A commonly used “standard condition” is shown to be almost false. A unified mild condition of consistency is established in this paper, and it is often a sufficient and necessary condition.

Suggested Citation

  • Jin Zhang, 2020. "Consistency of MLE, LSE and M-estimation under mild conditions," Statistical Papers, Springer, vol. 61(1), pages 189-199, February.
    • Handle: RePEc:spr:stpapr:v:61:y:2020:i:1:d:10.1007_s00362-017-0928-2
    DOI: 10.1007/s00362-017-0928-2
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    References listed on IDEAS

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    1. Lai, T. L. & Robbins, Herbert & Wei, C. Z., 1979. "Strong consistency of least squares estimates in multiple regression II," Journal of Multivariate Analysis, Elsevier, vol. 9(3), pages 343-361, September.
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