RT Generic
T1 Subsampling inference in cube root asymptotics with an application to manski's maximum score estimator
A1 Delgado, Miguel A.
A1 Rodríguez Poo, Juan M.
A1 Wolf, Michael
A2 Universidad Carlos III de Madrid. Departamento de Estadística, 
AB Kim and Pollard (1990) showed that a general class of M-estimators converge at rate nl/3 rather than at the standard rate n1/2 • Many times, this situation arises when the objective function is non-smooth. The limiting distribution is the (almost surely unique) random vector that maximizes a certain Gaussian process and is difficult to analyze analytically. In this paper, we propose the use of the subsampling method for inferential purposes. The general method is then applied to Manski' s maximum score estimator and its small sample performance is highlighted via a simulation study.
YR 2000
FD 2000-11
LK https://hdl.handle.net/10016/10110
UL https://hdl.handle.net/10016/10110
LA eng
DS e-Archivo
RD 30 abr. 2024