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- W2891723690 abstract "Ever since the proof of asymptotic normality of maximum likelihood estimator by Cramer (1946), it has been understood that a basic technique of the Taylor series expansion suffices for asymptotics of $M$-estimators with smooth/differentiable loss function. Although the Taylor series expansion is a purely deterministic tool, the realization that the asymptotic normality results can also be made deterministic (and so finite sample) received far less attention. With the advent of big data and high-dimensional statistics, the need for finite sample results has increased. In this paper, we use the (well-known) Banach fixed point theorem to derive various deterministic inequalities that lead to the classical results when studied under randomness. In addition, we provide applications of these deterministic inequalities for crossvalidation/subsampling, marginal screening and uniform-in-submodel results that are very useful for post-selection inference and in the study of post-regularization estimators. Our results apply to many classical estimators, in particular, generalized linear models, non-linear regression and cox proportional hazards model. Extensions to non-smooth and constrained problems are also discussed." @default.
- W2891723690 created "2018-09-27" @default.
- W2891723690 creator A5066649482 @default.
- W2891723690 date "2018-09-13" @default.
- W2891723690 modified "2023-09-27" @default.
- W2891723690 title "Deterministic Inequalities for Smooth M-estimators" @default.
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