I would like to practice with solving M-estimators problems, but I cannot find where they are easily explained. Could you please recommend me something?
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You mean solving by *hand*? – user603 Jan 16 '15 at 15:45
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Yes, in ideal case I need some examples with solutions, but without solutions will also be fine – user2575760 Jan 16 '15 at 15:49
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Would MLE examples be good? – user603 Jan 16 '15 at 17:42
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No, MLE goes fairly easy for me, but not M-estimators – user2575760 Jan 16 '15 at 18:15
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but MLE is a type of M estimator as is OLS, hence my comment (your question needs to be more precise) – user603 Jan 16 '15 at 18:24
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Yes, I need more problems like OLS, where you have these estimating equations. In MLE it's different, because there is a likelihood, you take a derivative and so on.. – user2575760 Jan 16 '15 at 18:31
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I found two sources:
Essential Statistical Inference. With this book, chapter 7, you see an introduction to M-estimation with some (not difficult examples). At the end of the chapter, there are some (not many) exercise where you can calculate something by hand.
Asymptotic Statistics. In this book, chapter 5, which I am reading now, there are some examples and exercises (at the end).
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