Timo Dimitriadis, Tobias Fissler, Johanna F. Ziegel
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引用次数: 5
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 allows us to leverage existing results on loss functions known from the literature on forecast evaluation in estimation theory. We exemplify advantageous implications for the fields of robust, efficient, equivariant and Pareto-optimal M-estimation.
期刊介绍：
Biometrika is primarily a journal of statistics in which emphasis is placed on papers containing original theoretical contributions of direct or potential value in applications. From time to time, papers in bordering fields are also published.
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