Tail behavior of the least-squares estimator

DOI10.1016/S0167-7152(01)00137-7zbMath0995.62055OpenAlexW2047374308MaRDI QIDQ1612945

Stephen L. Portnoy, Roger W. Koenker, Jana Jureckova

Publication date: 5 September 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(01)00137-7

zbMATH Keywords

extreme valuestail behaviordomain of attractionleast-squares estimator

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Statistics of extreme values; tail inference (62G32)

Related Items

GTL regression: a linear model with skewed and thick-tailed disturbances, Heavy tails of OLS, Asymptotic and Finite-Sample Properties in Statistical Estimation

Cites Work

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