One-step R-estimation in linear models with stable errors
稳定分布误差线性模型中的一步秩估计
Classical estimation techniques for linear models either are inconsistent, or perform rather poorly, under α-stable error densities; most of them are not even rate-optimal. In this paper, we propose an original one-step R-estimation method and investigate its asymptotic performances under stable densities. Contrary to traditional least squares, the proposed R-estimators remain root-n consistent (the optimal rate) under the whole family of stable distributions, irrespective…