Sufficient conditions for the strong consistency of least squares estimator with α-stable errors

• Autorzy: João Tiago Mexia , João Lita da Silva
• Języki publikacji: EN

Abstrakty

EN

Let $Y_{i} = x_{i}^{T}β + e_{i}$, 1 ≤ i ≤ n, n ≥ 1 be a linear regression model and suppose that the random errors e₁, e₂, ... are independent and α-stable. In this paper, we obtain sufficient conditions for the strong consistency of the least squares estimator β̃ of β under additional assumptions on the non-random sequence x₁, x₂,... of real vectors.

Słowa kluczowe

EN

linear models; least squares estimator; strong consistency; stability

Kategorie tematyczne

• 60F15: Strong theorems

• Wydawca: Faculty of Mathematics, Computer Science and Econometrics, University of Zielona Góra
• Czasopismo: Discussiones Mathematicae Probability and Statistics
• Rocznik: 2007
• Tom: 27
• Numer: 1-2
• Strony: 27-45

Daty

wydano

2007

otrzymano

2007-03-21

poprawiono

2007-11-18

Twórcy

autor

João Tiago Mexia

• Mathematics Department, Faculty of Science and Technology New, University of Lisbon, Monte da Caparica 2829-516 Caparica, Portugal

autor

João Lita da Silva

• New University of Lisbon, Mathematics Department, Faculty of Science and Technology, Quinta da Torre, 2825-114 Monte da Caparica, Portugal

Bibliografia

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Identyfikatory

DOI

10.7151/dmps.1087