JSM 2003 Online Program

Abstract #301828

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Activity Number:	378
Type:	Contributed
Date/Time:	Wednesday, August 6, 2003 : 12:00 PM to 1:50 PM
Sponsor:	IMS
Abstract - #301828
Title:	Large Deviations for M-estimators
Author(s):	Cyrille Joutard*+
Companies:	Crest Laboratory of Statistics
Address:	3 Ave. Pierre Larousse, Malakoff, , , France
Keywords:	M-estimator ; large deviation principle ; rate function
Abstract:	Consider a sample of random vectors with distributions depending on a multidimensional parameter. In 1992, Borovkov and Mogulskii studied large deviations for the M-estimator when the parameter space is compact and the random vectors are independent and identically distributed (i.i.d). They gave a rather abstract form for the rate function of the large deviation principle. In our work, we also assume that the parameter space is compact, and we consider random vectors not necessarily i.i.d. We give a large deviation principle for the M-estimator, and we identify the rate function. We apply our result to the nonlinear model and the generalized linear model.

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