Multicollinearity in regression: an efficiency comparison between Lp-norm and least squares estimators
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DOI: 10.1007/s11135-017-0571-y
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- Roy Cerqueti & Massimiliano Giacalone & Raffaele Mattera, 2020. "Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling," Papers 2004.11674, arXiv.org.
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Keywords
Multicollinearity; Exponential power function; Lp-norm estimators; Lpmin method; Kurtosis indexes; Relative efficiency;All these keywords.
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