Order of convergence of regression parameter estimates in models with infinite variance

A. Le Breton and M. Musiela

Journal of Multivariate Analysis, 1989, vol. 31, issue 1, 59-68

Abstract: A semimartingale driven continuous time linear regression model is studied. Assumptions concerning errors allow us to consider also models with infinite variance. The order of the almost sure convergence of a class of estimates which includes least squares estimates is given. In the presence of errors with heavy tails a modification of least squares estimates is suggested and shown to be better than the latter.

Keywords: multiple; regression; strong; consistency; semimartingale; stochastic; integration (search for similar items in EconPapers)
Date: 1989
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