Estimation and hypothesis testing in stochastic regression

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2003

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Sazak, Hakan Savaş

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Regression analysis is very popular among researchers in various fields but almost all the researchers use the classical methods which assume that X is nonstochastic and the error is normally distributed. However, in real life problems, X is generally stochastic and error can be nonnormal. Maximum likelihood (ML) estimation technique which is known to have optimal features, is very problematic in situations when the distribution of X (marginal part) or error (conditional part) is nonnormal. Modified maximum likelihood (MML) technique which is asymptotically giving the estimators equivalent to the ML estimators, gives us the opportunity to conduct the estimation and the hypothesis testing procedures under nonnormal marginal and conditional distributions. In this study we show that MML estimators are highly efficient and robust. Moreover, the test statistics based on the MML estimators are much more powerful and robust compared to the test statistics based on least squares (LS) estimators which are mostly used in literature. Theoretically, MML estimators are asymptotically minimum variance bound (MVB) estimators but simulation results show that they are highly efficient even for small sample sizes. In this thesis, Weibull and Generalized Logistic distributions are used for illustration and the results given are based on these distributions. As a future study, MML technique can be utilized for other types of distributions and the procedures based on bivariate data can be extended to multivariate data.

Subject Keywords

Regression analysis, Stochastic analysis, Analysis of variance

URI

http://etd.lib.metu.edu.tr/upload/3/724294/index.pdf
https://hdl.handle.net/11511/13953

Collections

Graduate School of Natural and Applied Sciences, Thesis

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Citation Formats

H. S. Sazak, “Estimation and hypothesis testing in stochastic regression,” Ph.D. - Doctoral Program, Middle East Technical University, 2003.