A linear model with stable residuals

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. Show more