I was reading the Wikipedia article on Robust Statistics: http://en.wikipedia.org/wiki/Robust_statistics#Properties_of_M-estimators
What is meant by the distribution of an estimator, as used here,
It can be shown that M-estimators are asymptotically normally distributed, so that as long as their standard errors can be computed, an approximate approach to inference is available. Since M-estimators are normal only asymptotically, for small sample sizes it might be appropriate to use an alternative approach to inference, such as the bootstrap.