A linear model with stable residuals

Chambers, Raymond

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A linear model with stable residuals

Date

1975

Authors

Chambers, Raymond

Publisher

Canberra, ACT : The Australian National University

Abstract

This thesis is concerned with an examination of large sample estimation procedures for the parameter β in the linear model Y = βX + ϵ when the disturbance term ϵ follows a symmetric stable law. The main emphasis of our work is directed towards the situation when the independent variable X follows a N(0, σ²) law, although alternative univariate and multivariate representations are also considered.