Properties of modelling the error distribution with an extra shape parameter

DOI10.1016/0167-9473(92)90152-6MaRDI QIDQ1186056zbMATH OpenOpenAlexFDO

Authors Jeremy M. G. Taylor

Publication date 28 June 1992

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL http://www.escholarship.org/uc/item/5vv6q3sk

zbMATH Keywords

adaptive robust techniquesadaptive stage of fitting an error distributionpower-exponential distributionvariance ratio for finite samples

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

Review text

Based on asymptotic theory and some Monte Carlo simulations, it is shown that the adaptive stage of fitting an error distribution can as a first approximation be ignored in making statistical inference concerning the regression parameters provided the sample size is not small, and particulary if the \(T\) rather than the power-exponential distribution is used. This is a useful result which together with good robustness properties suggests that the adaptive robust techniques should have more of a role in practical statistics than they currently enjoy. However, caution should be exercised in extending this result to situations very different from those considered in the Monte Carlo study or to other more complex situations. For example the variance ratio for finite samples may not be so close to one for nonlinear, or multivariate models using the \(T\)-distribution or if the design of the explanatory variables is very irregular.

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Cited in

(6)

• On influence diagnostic in univariate elliptical linear regression models
• Elliptical structural models
• Acknowledgement of Priority: the Generalized Normal Distribution
• Robustness of the student t based M-estimator
• Scaled von Mises-Fisher distributions and regression models for paleomagnetic directional data
• Assessment of diagnostic procedures in symmetrical nonlinear regression models

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