Monotone representation and measurability of generalized $\psi$-estimators

Abstract

We investigate the monotone representation and measurability of generalized $\psi$-estimators introduced by the authors in 2022. Our first main result, applying the unique existence of a generalized $\psi$-estimator, allows us to construct this estimator in terms of a function $\psi$, which is decreasing in its second variable. We then interpret this result as a bridge from a nonconvex optimization problem to a convex one. Further, supposing that the underlying measurable space (sample space) has a measurable diagonal and some additional assumptions on $\psi$, we show that the measurability of a generalized $\psi$-estimator is equivalent to the measurability of the corresponding function $\psi$ in its first variable.