Lai, P.; Lee, Stephen - In: Annals of the Institute of Statistical Mathematics 65 (2013) 1, pp. 105-124
Consider a linear regression model subject to an error distribution which is symmetric about 0 and varies regularly at 0 with exponent ζ. We propose two estimators of ζ, which characterizes the central shape of the error distribution. Both methods are motivated by the well-known Hill...
