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Linear and nonlinear regression with stable errors
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DOI：10.1016/j.jeconom.2012.08.008.png)
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Abstract
En 中文
In this paper we describe methods and evaluate programs for linear regression by maximum likelihood when the errors have a heavy tailed stable distribution. The asymptotic Fisher information matrix for both the regression coefficients and the error distribution parameters are derived, giving large sample confidence intervals for all parameters. Simulated examples are shown where the errors are stably distributed and also where the errors are heavy tailed but are not stable, as well as a real example using financial data. The results are then extended to nonlinear models and to non-homogeneous error terms. (C) 2012 Elsevier B.V. All rights reserved.
Keywords:
Heavy tailed regression
Stable distributions
Score function