Limit theorems for extremal residuals in a regression model with heavy tails of observation errors

DOI10.1090/S0094-9000-2014-00921-7MaRDI QIDQ2923402zbMATH OpenFDO

Authors I. K. Matsak, O. V. Ivanov

Publication date 15 October 2014

Published in Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/S0094-9000-2014-00921-7

zbMATH Keywords

heavy tailslinear regression modellimit theoremsextremal residuals

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Extreme value theory; extremal stochastic processes (60G70) Limit theorems in probability theory (60F99)

Cites work

• scientific article; zbMATH DE number 3126031 (Why is no real title available?)
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• scientific article; zbMATH DE number 3421697 (Why is no real title available?)
• Extremes and related properties of random sequences and processes
• Moment Convergence of Sample Extremes
• Regularly varying functions
• Sur la distribution limite du terme maximum d'une série aléatoire
• The Khintchine inequalities and martingale expanding sphere of their action

Cited in

(5)

• Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model
• The limiting distribution of least squares in an errors-in-variables regression model
• Extreme residuals in regression model. Minimax approach
• scientific article; zbMATH DE number 1995693 (Why is no real title available?)
• Minimax estimators of parameters of a regression model

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