A highly efficient regression estimator for skewed and/or heavy-tailed distributed errors : 19/2016

This paper proposes a simple maximum likelihood regression estimator that outperforms Least Squares in terms of efficiency and mean square error for a large number of skewed and/or heavy tailed error distributions.

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Year of publication:	[2016]
Other Persons:	Ricci, Lorenzo (contributor) ; Verardi, Vincenzo (contributor) ; Vermandele, Catherine (contributor)
Institutions:	European Stability Mechanism (issuing body)
Publisher:	Luxembourg : ESM
Subject:	Schätztheorie \| Estimation theory \| Statistische Verteilung \| Statistical distribution \| Regressionsanalyse \| Regression analysis \| Statistischer Fehler \| Statistical error

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Extent:	1 Online-Ressource (8 p.) Illustrationen (farbig)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Bibl. : p. 8
ISBN:	978-92-95085-22-0
Other identifiers:	10.2852/02035 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10015296079