On the Symmetry of Limiting Distributions of M-estimators
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arXiv
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| Format: | Preprint |
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2024
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| _version_ | 1866910716206776320 |
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| author | Bhowmick, Arunav Kuchibhotla, Arun Kumar |
| author_facet | Bhowmick, Arunav Kuchibhotla, Arun Kumar |
| contents | Many functionals of interest in statistics and machine learning can be written as minimizers of expected loss functions. Such functionals are called $M$-estimands, and can be estimated by $M$-estimators -- minimizers of empirical average losses. Traditionally, statistical inference (e.g., hypothesis tests and confidence sets) for $M$-estimands is obtained by proving asymptotic normality of $M$-estimators centered at the target. However, asymptotic normality is only one of several possible limiting distributions and (asymptotically) valid inference becomes significantly difficult with non-normal limits. In this paper, we provide conditions for the symmetry of three general classes of limiting distributions, enabling inference using HulC (Kuchibhotla et al. (2024)). |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2411_17087 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | On the Symmetry of Limiting Distributions of M-estimators Bhowmick, Arunav Kuchibhotla, Arun Kumar Statistics Theory Methodology Many functionals of interest in statistics and machine learning can be written as minimizers of expected loss functions. Such functionals are called $M$-estimands, and can be estimated by $M$-estimators -- minimizers of empirical average losses. Traditionally, statistical inference (e.g., hypothesis tests and confidence sets) for $M$-estimands is obtained by proving asymptotic normality of $M$-estimators centered at the target. However, asymptotic normality is only one of several possible limiting distributions and (asymptotically) valid inference becomes significantly difficult with non-normal limits. In this paper, we provide conditions for the symmetry of three general classes of limiting distributions, enabling inference using HulC (Kuchibhotla et al. (2024)). |
| title | On the Symmetry of Limiting Distributions of M-estimators |
| topic | Statistics Theory Methodology |
| url | https://arxiv.org/abs/2411.17087 |