011. M-Estimation: A Practicing Statistician's Best Friend (Conceptual, Theory, and Application)

In this video we take a slight tangent into the general theory of M-estimators: what are they, why do we care, what asymptotic results do they give, and how do we use them? We emphasize that, while this theory will be useful for us in this course, ultimately it is an incredibly powerful framework for characterizing estimation more generally. It unifies likelihood estimation with least squares estimation, and provides so much "for free". Video Timeline 00:00 - Introduction 01:48 - What is M-Estimation? 09:14 - Examples of M-Estimators. 27:07 - M-Estimation in Practice