Linear and nonlinear regression with stable errors
DOI10.1016/J.JECONOM.2012.08.008zbMATH Open1443.62204OpenAlexW2098571802WikidataQ57452127 ScholiaQ57452127MaRDI QIDQ528134FDOQ528134
Diana Ojeda-Revah, John P. Nolan
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001923
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Infinitely divisible distributions; stable distributions (60E07) Asymptotic properties of parametric estimators (62F12) General nonlinear regression (62J02) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Parametric tolerance and confidence regions (62F25)
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Cited In (17)
- Robust nonparametric regression for heavy-tailed data
- On the use of conditional expectation in portfolio selection problems
- On the impact of conditional expectation estimators in portfolio theory
- Learning algorithms may perform worse with increasing training set size: algorithm-data incompatibility
- Statistical modeling of the Cobb-Douglas production function: a multiple linear regression approach in presence of stable distribution noise
- Financial modeling with heavy-tailed stable distributions
- GTL regression: a linear model with skewed and thick-tailed disturbances
- Title not available (Why is that?)
- Linear regression with corrected errors of independent and dependent variables
- Observation-driven filtering of time-varying parameters using moment conditions
- Linear regression models with slash-elliptical errors
- Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
- Applications of a General Stable Law Regression Model
- LINEAR REGRESSION WITH NON-NORMAL ERRORS
- Stability in linear estimation
- Measure of location-based estimators in simple linear regression
- Heavy tails of OLS
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