Efficiency of linear estimators under heavy-tailedness: convolutions of [alpha]-symmetric distributions

Rustam Ibragimov

Scholarly Articles from Harvard University Department of Economics

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 [alpha]-symmetric distributions with [alpha] > 1. However, these properties are reversed in the case of convolutions of [alpha]-symmetric distributions with [alpha]

Date: 2007
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Published in Econometric Theory

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Persistent link: https://EconPapers.repec.org/RePEc:hrv:faseco:2623749

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