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...
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| Автори: | , |
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| Формат: | Artigo |
| Мова: | Inglês |
| Опубліковано: |
Amirkabir University of Technology
2022-02-01
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| Серія: | AUT Journal of Mathematics and Computing |
| Предмети: | |
| Онлайн доступ: | https://ajmc.aut.ac.ir/article_4575_0cb2feab9a696847663b1f831beeb0c3.pdf |
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