Abstract
For a general (real) parameter, let Mnbe the M-estimator and Mn(1) be its one-step version (based on a suitable initial estimator Mn(0)). It is known that, under certain regularity conditions, n(Mn(1)-Mn)=Op(1). The asymptotic distribution of n(Mn(1)-Mn) is studied; it is typically non-normal and it reveals the role of the initial estimator Mn(0).
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