Estimation of the parameters of a regression model with a multivariate t error variable
From MaRDI portal
Publication:3747520
DOI10.1080/03610928608829130zbMath0608.62061OpenAlexW2017466685MaRDI QIDQ3747520
No author found.
Publication date: 1986
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610928608829130
consistencyscale parametersregression parametersdegrees of freedomspherically symmetric distributionmultivariate t-distributiontesting of hypothesiserror variablestock market problem
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)
Related Items
A multivariate linear regression analysis using finite mixtures of \(t\) distributions, Stabilizing the Performance of Kurtosis Estimator of Multivariate Data, Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariatet errors under the Pitman nearness criterion, Bias corrected estimates in multivariate student t regression models, Discrimination of observations into one of two elliptic populations based on monotone training samples, Maximum Likelihood Estimation of Tobit Factor Analysis for Multivariatet-Distribution, Posterior analysis of state space model with spherical symmetricity, PMSE performance of two different types of preliminary test estimators under a multivariate t error term, Some finite sample results for a system of seemingly unrelated regression equations, A generalization of the Wishart distribution for the elliptical model and its moments for the multivariate t model, An asymptotic test of independence for multivariate \(t\) and Cauchy random variables with applications, A measure of total variability for the multivariate \(t\) distribution with applications to finance, Bayes prediction in regressions with elliptical errors, Inconsistency of estimate of the degree of freedom of multivariate Student-\(t\) disturbances in linear regression models, Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility, Hypothesis testing for the generalized multivariate modified Bessel model, On small sample properties of zellner's estimator for the case of two sur equations with compound normal disturbances, On risk comparisons of some estimators in a linear regression model under inagaki’S loss function and nonnormal error terms, Multivariate linear regression with non-normal errors: a solution based on mixture models, On the bias and mean square error of the least square estimator in a regression model with two inequality constraints and multivariate t error terms, Stein type confidence interval of the disturbance variance in a linear regression model with multivariate student-t distributed errors, The structural Sharpe model undert-distributions, Estimation of The Trace of The Scale Matrix of A Multivariate T-Model Using Regression Type Estimator Statistics, A Joint Model for Longitudinal Measurements and Survival Data in the Presence of Multiple Failure Types, Existence conditions for the uniformly minimum risk unbiased estimators in a class of linear models, Estimation methods for the multivariate \(t\) distribution, Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances, Locally minimax test of independence in elliptically symmetrical distributions with additional observations, Robustness of the likelihood ratio test for detection and estimation of a mean change point in a sequence of elliptically contoured observations, Advances and Challenges in Inferences for Elliptically Contoured t Distributions, Comparison of estimators of means based on p-samples from multivariate student-t population, MSE performance of the 2SHI estimator in a regression model with multivariate \(t\) error terms, Maximum likelihood estimation of multinomial probit factor analysis models for multivariate \(t\)-distribution, Percentage Points of the Multivariate t Distribution, Multivariate Linear Regression Model with Elliptically Contoured Distributed Errors and Monotone Missing Dependent Variables, Testing linear restrictions on coefficients in a linear regression model with proxy variables and spherically symmetric disturbances, Corrected estimates for Studenttregression models with unknown degrees of freedom, Some useful integrals and their applications in correlation analysis, The probability content of cones in isotropic random fields, MSE performance and minimax regret significance points for a HPT estimator under a multivariate t error distribution, Estimation of the Trace of the Scale Matrix of the Scale Mixture of Multivariate Normal Distributions, Distribution of the correlation matrix for a class of elliptical models, Bayesian variable selection in linear regression models with non-normal errors, Estimation of the characteristic roots of the scale matrix, On preliminary test ridge regression estimators for linear restrictions in a regression model with non-normal disturbances, Joint modelling of location and scale parameters of the t distribution, The mathematical expectation of sample variance: a general approach, Robust Bayesian inference for seemingly unrelated regressions with elliptical errors, Measures of dependence for the multivariate t distribution with applications to the stock market
Cites Work
