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

DOI10.1016/0047-259X(89)90049-3MaRDI QIDQ1822874zbMATH OpenOpenAlexFDO

Authors Alain Le Breton, M. 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

almost sure convergenceheavy tailsinfinite varianceleast squares estimatesmultiple regressionsemimartingale driven continuous time linear regression modelstochastic integrationstrong consistency

Mathematics Subject Classification ID

Strong limit theorems (60F15) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Calcul stochastique et problèmes de martingales
• Convergence of quadratic forms in p-stable random variables and \(\theta _ p\)-radonifying operators
• Convergence systems and strong consistency of least squares estimates in regression models
• scientific article; zbMATH DE number 3938373 (Why is no real title available?)
• scientific article; zbMATH DE number 3249399 (Why is no real title available?)
• Random measures and harmonizable sequences
• Strong consistency of least squares estimates in linear regression models driven by semimartingales
• Strong consistency of least squares estimates in multiple regression II

Cited in

(6)

• Weighted least squares estimates in linear regression models for processes with uncorrelated increments
• Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
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• Guaranteed parameter estimation in a first order autoregressive progress with infinite variance
• AN EXAMINATION OF ESTIMATED RESIDUALS IN A REGRESSION WITH AN INFINITE ORDER PARAMETRIC MODEL

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