Estimation and hypothesis testing in multivariate linear regression models under non normality

Date

2017-01-01

Author

İslam, Muhammed Qamarul

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This paper discusses the problem of statistical inference in multivariate linear regression models when the errors involved are non normally distributed. We consider multivariate t-distribution, a fat-tailed distribution, for the errors as alternative to normal distribution. Such non normality is commonly observed in working with many data sets, e.g., financial data that are usually having excess kurtosis. This distribution has a number of applications in many other areas of research as well. We use modified maximum likelihood estimation method that provides the estimator, called modified maximum likelihood estimator (MMLE), in closed form. These estimators are shown to be unbiased, efficient, and robust as compared to the widely used least square estimators (LSEs). Also, the tests based upon MMLEs are found to be more powerful than the similar tests based upon LSEs.

Subject Keywords

Statistics and Probability

URI

https://hdl.handle.net/11511/44081

Collections

Department of Statistics, Article