One-Step R-Estimation in Linear Models with Stable Errors
نویسندگان
چکیده
منابع مشابه
One-Step R-Estimation in Linear Models with Stable Errors
Classical estimation techniques for linear models either are inconsistent, or perform rather poorly, under αstable error densities; most of them are not even rate-optimal. In this paper, we propose an original one-step R-estimation method and investigate its asymptotic performances under stable densities. Contrary to traditional least squares, the proposed R-estimators remain root-n consistent ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1695537