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math.ST2024
On estimation of skewed stable linear regression
Eitaro Kawamo, Hiroki Masuda
We study the parameter estimation method for linear regression models with possibly skewed stable distributed errors. Our estimation procedure consists of two stages: first, for th…
math.ST2024★ 1 cited
Adaptive Ridge Approach to Heteroscedastic Regression
Ka Long Keith Ho, Hiroki Masuda
We propose an adaptive ridge (AR) estimation scheme for a heteroscedastic linear regression model with log-linear noise in data. We simultaneously estimate the mean and variance pa…