Linear and nonlinear regression with stable errors

DOI10.1016/j.jeconom.2012.08.008zbMath1443.62204OpenAlexW2098571802WikidataQ57452127 ScholiaQ57452127MaRDI QIDQ528134

Diana Ojeda-Revah, John P. Nolan

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001923

zbMATH Keywords

stable distributionsscore functionheavy tailed regression

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Parametric tolerance and confidence regions (62F25) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) General nonlinear regression (62J02)

Related Items (9)

Learning algorithms may perform worse with increasing training set size: algorithm-data incompatibility ⋮ GTL regression: a linear model with skewed and thick-tailed disturbances ⋮ Observation-driven filtering of time-varying parameters using moment conditions ⋮ Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations ⋮ Robust nonparametric regression for heavy-tailed data ⋮ On the use of conditional expectation in portfolio selection problems ⋮ Heavy tails of OLS ⋮ On the impact of conditional expectation estimators in portfolio theory ⋮ Measure of location-based estimators in simple linear regression

Cites Work

• Parameterizations and modes of stable distributions
• One-step R-estimation in linear models with stable errors
• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
• Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Linear and nonlinear regression with stable errors