Characterizing M-estimators
通过将预测评估中的一致损失函数理论与M估计理论正式连接，刻画了半参数模型中一般泛函的M估计量的完整类别，并展示了在稳健、高效、等变和帕累托最优M估计中的优势应用。
Summary We characterize the full classes of M-estimators for semiparametric models of general functionals by formally connecting the theory of consistent loss functions from forecast evaluation with the theory of M-estimation. This novel characterization result allows us to leverage existing results on loss functions known from the literature on forecast evaluation in estimation theory. We exemplify advantageous implications for the fields of robust, efficient, equivariant and Pareto-optimal M-estimation.