An approximation for analyzing a broad class of implicitly and explicitly defined estimators

Abstract

An approximation is presented that can be used to gain insight into the characteristics – such as outlier sensitivity, bias, and variability – of a wide class of estimators, including maximum likelihood and least squares. The approximation relies on a convenient form for an arbitrary order Taylor expansion in a multivariate setting. The implicit function theorem can be used to construct the expansion when the estimator is not defined in closed form. We present several finite-sample and asymptotic properties of such Taylor expansions, which are useful in characterizing the difference between the estimator and the expansion.