Title of article
One-step R-estimation in linear models with stable errors
Author/Authors
Hallin، نويسنده , , Marc C. Swan، نويسنده , , Yvik and Verdebout، نويسنده , , Thomas and Veredas، نويسنده , , David، نويسنده ,
Pages
10
From page
195
To page
204
Abstract
Classical estimation techniques for linear models either are inconsistent, or perform rather poorly, under α -stable error densities; most of them are not even rate-optimal. In this paper, we propose an original one-step R-estimation method and investigate its asymptotic performances under stable densities. Contrary to traditional least squares, the proposed R-estimators remain root- n consistent (the optimal rate) under the whole family of stable distributions, irrespective of their asymmetry and tail index. While parametric stable-likelihood estimation, due to the absence of a closed form for stable densities, is quite cumbersome, our method allows us to construct estimators reaching the parametric efficiency bounds associated with any prescribed values ( α 0 , b 0 ) of the tail index α and skewness parameter b , while preserving root- n consistency under any ( α , b ) as well as under usual light-tailed densities. The method furthermore avoids all forms of multidimensional argmin computation. Simulations confirm its excellent finite-sample performances.
Keywords
Local asymptotic normality , stable distributions , R-estimation , LAD estimation , Asymptotic relative efficiency
Journal title
Astroparticle Physics
Record number
2041804
Link To Document