Asymptotics for argmin processes: Convexity arguments

The convexity arguments developed by Pollard [D. Pollard, Asymptotics for least absolute deviation regression estimators, Econometric Theory 7 (1991) 186–199], Hjort and Pollard [N.L. Hjort, D. Pollard, Asymptotics for minimizers of convex processes, 1993 (unpublished manuscript)], and Geyer [C.J. Geyer, On the asymptotics of convex stochastic optimization, 1996 (unpublished manuscript)] are now basic tools for investigating the asymptotic behavior of M -estimators with non-differentiable convex objective functions. This paper extends the scope of convexity arguments to the case where estimators are obtained as stochastic processes. Our convexity arguments provide a simple proof for the asymptotic distribution of regression quantile processes. In addition to quantile regression, we apply our technique to LAD (least absolute deviation) inference for threshold regression.