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Erschienen in:
2020 | OriginalPaper | Buchkapitel
5. Stable Regression
verfasst von : John P. Nolan
Erschienen in: Univariate Stable Distributions
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Abstract
Ordinary least squares (OLS) is a well-established and important procedure for solving regression problems. In the case of regression with normally distributed errors, the OLS solution is the same as the maximum likelihood solution. Although small departures from normality do not affect the model greatly, errors from a heavy tailed distribution will generally result in extreme observations that can greatly affect the estimated OLS regression coefficients.