Tail behavior of the least-squares estimator

DOI10.1016/S0167-7152(01)00137-7MaRDI QIDQ1612945zbMATH OpenOpenAlexFDO

Authors Jana Jurečková, Roger Koenker, Stephen Portnoy

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

least-squares estimatorextreme valuestail behaviordomain of attraction

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3858075 (Why is no real title available?)
• scientific article; zbMATH DE number 3829050 (Why is no real title available?)
• scientific article; zbMATH DE number 4062374 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 3426633 (Why is no real title available?)
• Breakdown points and variation exponents of robust \(M\)-estimators in linear models
• On extreme regression quantiles
• Robust Statistics
• Tail Behavior of Regression Estimators and their Breakdown Points
• Tail-behavior of location estimators

Cited in

(5)

• Convergence rates of least squares regression estimators with heavy-tailed errors
• Tail dependence of OLS
• Asymptotic and finite-sample properties in statistical estimation
• GTL regression: a linear model with skewed and thick-tailed disturbances
• Heavy tails of OLS

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