Comparing regression methods with non-Gaussian stable errors
Nolan and Ojeda-Revah in [16] proposed a regression model with heavy-tailed stable errors. In this paper, we extend this method for multivariate heavy-tailed errors. Furthermore, A likelihood ratio test (LRT) for testing significant of regression coefficients is proposed. Also, confidence intervals...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Amirkabir University of Technology
2022-02-01
|
| Series: | AUT Journal of Mathematics and Computing |
| Subjects: | |
| Online Access: | https://ajmc.aut.ac.ir/article_4575_0cb2feab9a696847663b1f831beeb0c3.pdf |