On the strong consistency of asymptotic M-estimators
arXiv:math/0507102 · doi:10.1016/j.jspi.2006.09.027
Abstract
The aim of this article is to simplify Pfanzagl's proof of consistency for asymptotic maximum likelihood estimators, and to extend it to more general asymptotic M-estimators. The method relies on the existence of a sort of contraction of the parameter space which admits the true parameter as a fixed point. The proofs are short and elementary.
Accepted for publication in Journal of Statistical Planning and Inference