Upper Bounds on Asymptotic Variances of $M$-Estimators of Location
Upper Bounds on Asymptotic Variances of $M$-Estimators of Location
If $X_1, \cdots, X_n$ is a random sample from $F(x - \theta)$, where $F$ is an unknown member of a specified class $\mathscr{F}$ of approximately normal symmetric distributions, then an $M$-estimator of the unknown location parameter $\theta$ is obtained by solving the equation $\sum^n_{i=1} \psi(X_i - \hat{\theta}_n) = 0$ for …