A Highly Efficient Regression Estimator for Skewed and/or Heavy-tailed Distributed Errors | E-Axes
 

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A Highly Efficient Regression Estimator for Skewed and/or Heavy-tailed Distributed Errors

date Date: November 1, 2016
date Author(s): Lorenzo Ricci, Vincenzo Verardi, Catherine Vermandele
date Affiliation: European Stability Mechanism - Université Namur - Université libre de Bruxelles
Abstract
In this paper, we propose a simple maximum likelihood regression estimator that outperforms Least Squares in terms of efficiency and mean square error for a large number of skewed and/or heavy tailed error distributions.

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