Order of convergence of regression parameter estimates in models with infinite variance

A semimartingale driven continuous time linear regression model is studied. Assumptions concerning errors allow us to consider also models with infinite variance. The order of the almost sure convergence of a class of estimates which includes least squares estimates is given. In the presence of errors with heavy tails a modification of least squares estimates is suggested and shown to be better than the latter.

MoreLess

Year of publication:	1989
Authors:	Le Breton, A. ; Musiela, M.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 31.1989, 1, p. 59-68
Publisher:	Elsevier
Keywords:	multiple regression strong consistency semimartingale stochastic integration

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005152962