Sufficient conditions for the strong consistency of least squares estimator with α-stable errors
João Tiago Mexia ; João Lita da Silva
Discussiones Mathematicae Probability and Statistics, Tome 27 (2007), p. 27-45 / Harvested from The Polish Digital Mathematics Library
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Let Yi=xiTβ+ei, 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.

Publié le : 2007-01-01
EUDML-ID : urn:eudml:doc:277074 
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João Tiago Mexia; João Lita da Silva. Sufficient conditions for the strong consistency of least squares estimator with α-stable errors. Discussiones Mathematicae Probability and Statistics, Tome 27 (2007) pp. 27-45. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1087/

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