EFFICIENCY OF LINEAR ESTIMATORS UNDER HEAVY-TAILEDNESS: CONVOLUTIONS OF [alpha]-SYMMETRIC DISTRIBUTIONS
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Publication:2886956
DOI10.1017/S0266466607070223zbMath1237.62042MaRDI QIDQ2886956
Publication date: 14 May 2012
Published in: Econometric Theory (Search for Journal in Brave)
Related Items (9)
A new proof for the peakedness of linear combinations of random variables ⋮ Peakedness for weighted sums of symmetric random variables ⋮ Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks ⋮ Detection of changes in a random financial sequence with a stable distribution ⋮ On the robustness of location estimators in models of firm growth under heavy-tailedness ⋮ Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? ⋮ Heavy-tailedness and threshold sex determination ⋮ Thou Shalt not Diversify: Why ‘Two Of Every Sort’? ⋮ Some Inequalities of Linear Combinations of Independent Random Variables. I.
Cites Work
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- Some recent developments on majorization inequalities in probability and statistics
- Peakedness of linear forms in ensembles and mixtures
- On \(\alpha\)-symmetric multivariate characteristic functions
- On $\alpha $-Symmetric Distributions
- Best Median-Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions
- Peakedness of Distributions of Convex Combinations
- Student's t-Test Under Symmetry Conditions
- A Note on Symmetric Bernoulli Random Variables
- On Random Variables with Comparable Peakedness
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