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M-estimation for discrete data: Asymptotic distribution theory and implications. (English) Zbl 0652.62011

The authors consider the asymptotic distribution of an M-estimator when the underlying distribution is discrete. They show its asymptotic normality quite generally. When the specification of the model is inexact, however, non-normal limiting distributions may result, and lead the authors to propose smooth score functions for discrete data.
Reviewer: A.N.Philippou

MSC:

62E20 Asymptotic distribution theory in statistics
62F10 Point estimation
62F35 Robustness and adaptive procedures (parametric inference)
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