Tail behavior of the least-squares estimator

DOI10.1016/S0167-7152(01)00137-7zbMATH Open0995.62055OpenAlexW2047374308MaRDI QIDQ1612945FDOQ1612945

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

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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)

Cites Work

• Title not available (Why is that?)
• On extreme regression quantiles
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• Robust Statistics
• Title not available (Why is that?)
• Title not available (Why is that?)
• Tail Behavior of Regression Estimators and their Breakdown Points
• Title not available (Why is that?)
• Breakdown points and variation exponents of robust \(M\)-estimators in linear models
• Tail-behavior of location estimators

Cited In (5)

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

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