Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Differentiability of M-functionals of location and scatter based on t
  likelihoods   The paper aims at finding widely and smoothly defined nonparametric location
and scatter functionals. As a convenient vehicle, maximum likelihood estimation
of the location vector m and scatter matrix S of an elliptically symmetric t
distribution on d-dimensional space with degrees of freedom larger than 1
extends to an M-functional defined on all probability distributions P in a
weakly open, weakly dense domain U. Here U consists of P not putting too much
mass in hyperplanes of dimension < d, as shown for empirical measures by Kent
and Tyler, Ann. Statist. 1991. It is shown here that (m,S) is analytic on U,
for the bounded Lipschitz norm, or for d=1, for the sup norm on distribution
functions. For k=1,2,..., and other norms, depending on k and more directly
adapted to t functionals, one has continuous differentiability of order k,
allowing the delta-method to be applied to (m,S) for any P in U, which can be
arbitrarily heavy-tailed. These results imply asymptotic normality of the
corresponding M-estimators (m_n,S_n). In dimension d=1 only, the t functionals
extend to be defined and weakly continuous at all t.

1
The categories of this paper are: cs
25
The categories of this paper are: patt-sol
33
The categories of this paper are: plasm-ph
11
The categories of this paper are: hep-lat
26
The categories of this paper are: bayes-an
15
The categories of this paper are: nucl-ex
36
The categories of this paper are: cmp-lg
34
The categories of this paper are: chem-ph
29
The categories of this paper are: funct-an
24
The categories of this paper are: dg-ga
3
The categories of this paper are: physics
4
The categories of this paper are: cond-mat
8
The categories of this paper are: hep-ex
18
The categories of this paper are: econ
7
The categories of this paper are: hep-th
0
The categories of this paper are: hep-ph