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A note on the asymptotic distribution of the F-statistic for random variables with infinite variance

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  • Runde, Ralf

Abstract

For two independent samples of independent random variables with probability distribution in the domain of attraction of a stable law with characteristic exponent [alpha] (1

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  • Runde, Ralf, 1993. "A note on the asymptotic distribution of the F-statistic for random variables with infinite variance," Statistics & Probability Letters, Elsevier, vol. 18(1), pages 9-12, August.
    • Handle: RePEc:eee:stapro:v:18:y:1993:i:1:p:9-12
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    Cited by:

    1. Runde, Ralf & Scheffner, Axel, 1998. "On the existence of moments: With an application to German stock returns," Technical Reports 1998,25, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    2. Kurz-Kim, Jeong-Ryeol & Loretan, Mico, 2014. "On the properties of the coefficient of determination in regression models with infinite variance variables," Journal of Econometrics, Elsevier, vol. 181(1), pages 15-24.
    3. Krämer Walter, 2002. "Statistische Besonderheiten von Finanzzeitreihen / Statistical Properties of Financial Time Series," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 222(2), pages 210-229, April.

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