Order of convergence of regression parameter estimates in models with infinite variance

DOI10.1016/0047-259X(89)90049-3zbMath0679.62069MaRDI QIDQ1822874

Alain Le Breton, Marek Musiela

Publication date: 1989

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(89)90049-3

zbMATH Keywords

heavy tails; infinite variance; stochastic integration; almost sure convergence; strong consistency; multiple regression; least squares estimates; semimartingale driven continuous time linear regression model

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J05: Linear regression; mixed models

60F15: Strong limit theorems

Related Items

Guaranteed parameter estimation in a first order autoregressive progress with infinite variance, Weighted least squares estimates in linear regression models for processes with uncorrelated increments

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