For an M-estimator defined by ∑ψ(Xi,θ^)=0\sum \psi(X_i, \hat{\theta}) = 0∑ψ(Xi,θ^)=0, what is the asymptotic variance of n(θ^−θ)\sqrt{n}(\hat{\theta} - \theta)n(θ^−θ)?
J−1HJ−1J^{-1} H J^{-1}J−1HJ−1 where H=E[ψ2]H = E[\psi^2]H=E[ψ2] and J=E[−ψ′]J = E[-\psi']J=E[−ψ′]
I(θ)−1I(\theta)^{-1}I(θ)−1
H−1H^{-1}H−1
Zero