Document Type : Original Article
Department of Statistics, Faculty of Mathematics and Computer Science, Amirkabir University of Technology (Tehran Polytechnic), Tehran, Iran.
Department of Mathematics and Computer Science, Amirkabir University of Technology (Tehran Polytechnic)
Nolan and Ojeda-Revah (2013) proposed a regression model with heavy-tailed stable errors. In this paper we extend this method for multivariate heavy-tailed errors. Furthermore, A likelihood ratio test (LRT) for testing significant of regression coefficients is proposed. Also, confidence intervals based on Fisher information for Nolan and Ojeda-Revah (2013) method, called NOR, and LRT are computed and compared with well-known methods. At the end we provide some guidance for various error distributions in heavy-tailed cases.