EFFICIENCY OF LINEAR ESTIMATORS UNDER HEAVY-TAILEDNESS: CONVOLUTIONS OF α-SYMMETRIC DISTRIBUTIONS

Rustam Ibragimov

Econometric Theory, 2007, vol. 23, issue 3, 501-517

Abstract: This paper focuses on the analysis of efficiency, peakedness, and majorization properties of linear estimators under heavy-tailedness assumptions. We demonstrate that peakedness and majorization properties of log-concavely distributed random samples continue to hold for convolutions of α-symmetric distributions with α > 1. However, these properties are reversed in the case of convolutions of α-symmetric distributions with α

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:23:y:2007:i:03:p:501-517_07

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