On estimation of skewed stable linear regression

Abstract: 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 the regression coefficients, the Cauchy quasi-maximum likelihood estimator (CQMLE) is considered after taking the differences to remove the skewness of noise, and we prove its asymptotic normality and tail-probability estimate; second, as for stable-distribution parameters, we consider the moment estimators based on the symmetrized and centered residuals and prove their $\sqrt{n}$-consistency. To derive the $\sqrt{n}$-consistency, we essentially used the tail-probability estimate of the CQMLE. The proposed estimation procedure has a very low computational load and is much less time-consuming compared with the maximum-likelihood estimator. Further, our estimator can be effectively used as an initial value of the numerical optimization of the log-likelihood.