A Highly Efficient Regression Estimator for Skewed And/Or Heavy-Tailed Distributed Errors

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:	2017
Authors:	Ricci, Lorenzo
Other Persons:	Verardi, Vincenzo (contributor) ; Vermandele, Catherine (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory \| Statistische Verteilung \| Statistical distribution \| Regressionsanalyse \| Regression analysis \| Statistischer Fehler \| Statistical error

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