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.
A Highly Efficient Regression Estimator for Skewed and/or Heavy-tailed Distributed Errors
Submitted by Staff on November 22, 2016
|Date: November 1, 2016|
|Author(s): Lorenzo Ricci, Vincenzo Verardi, Catherine Vermandele|
|Affiliation: European Stability Mechanism - Université Namur - Université libre de Bruxelles|