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Characterizing M-estimators

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  • Timo Dimitriadis
  • Tobias Fissler
  • Johanna Ziegel

Abstract

We characterize the full classes of M-estimators for semiparametric models of general functionals by formally connecting the theory of consistent loss functions from forecast evaluation with the theory of M-estimation. This novel characterization result opens up the possibility for theoretical research on efficient and equivariant M-estimation and, more generally, it allows to leverage existing results on loss functions known from the literature of forecast evaluation in estimation theory.

Suggested Citation

  • Timo Dimitriadis & Tobias Fissler & Johanna Ziegel, 2022. "Characterizing M-estimators," Papers 2208.08108, arXiv.org.
    • Handle: RePEc:arx:papers:2208.08108
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    References listed on IDEAS

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