Asymptotic Distribution of Linear Unbiased Estimators in the Presence of Heavy-Tailed Stochastic Regressors and Residuals

56 Pages Posted: 8 Jun 2016

Date Written: 2005

Abstract

Under the symmetric á-stable distributional assumption for the disturbances,

Keywords: Asymptotic distribution, rate of convergence, stochastic regressor, stable non-Gaussian, finite or infinite variance, heavy tails

Suggested Citation

Kurz-Kim, Jeong-Ryeol and Rachev, Svetlozar and Samorodnitsky, Gennady, Asymptotic Distribution of Linear Unbiased Estimators in the Presence of Heavy-Tailed Stochastic Regressors and Residuals (2005). Bundesbank Series 1 Discussion Paper No. 2005,21, Available at SSRN: https://ssrn.com/abstract=2785204 or http://dx.doi.org/10.2139/ssrn.2785204

Jeong-Ryeol Kurz-Kim

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

Svetlozar Rachev

Texas Tech University ( email )

Dept of Mathematics and Statistics
Lubbock, TX 79409
United States
631-662-6516 (Phone)

Gennady Samorodnitsky (Contact Author)

Cornell University ( email )

School of Operations Research and Industrial Engineering; Department of Statistical Science
Ithaca, NY 14853
United States

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