Characterizing M-estimators

Abstract

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 opens up the possibility for theoretical research on efficient and equivariant M-estimation and, more generally, it allows to leverage existing results on loss functions known from the literature of forecast evaluation in estimation theory.