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Anyone here have any experience with $M$ - estimators and do you think you can give a brief explanation that the problem an $M$ - estimator is trying to solve ? Thanks.

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    While your questio$n$ is interesting, this site is not re$a$lly geared toward expository essays on broad topics. If you'd like a useful reference, I recommend A. van der Vaart, *[Asymptotic Statistics](http://www.amazon.com/Asymptotic-Statistics-Statistical-Probabilistic-Mathematics/dp/0521784506)*, Cambridge University Press, 1998, **Chapter 5**.2012-01-24

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I, particularly, have encountered with the following ones:

1) Loss-minimization problem in Machine Learning.

2) Maximum Likelihood estimation.