The limiting distribution of the F-statistic from nonnormal universes

Date

2006-12-01

Author

Gueven, Bilgehan

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

150
views

0
downloads

We consider a linear regression model with an unbalanced 1-fold nested error structure, where group effect and error are from nonnormal universes. The limiting distribution of the F-statistic in this model is derived, as the sample size is large and group sizes take values from a finite set of distinct integers. The result is used to approximate the F-distribution quantile and to test the significance of the random effect variance component. Results are also applicable to the F-statistic in the one-way random-effects model. The effects of departure from normality on the F-statistic distribution are given.

Subject Keywords

Statistics, Probability and Uncertainty, Statistics and Probability

URI

https://hdl.handle.net/11511/63551

Journal

STATISTICS

DOI

https://doi.org/10.1080/02331880601012843

Collections

Department of Statistics, Article

Suggestions

OpenMETU
Core

Multiple linear regression model with stochastic design variables İslam, Muhammed Qamarul (Informa UK Limited, 2010-01-01) In a simple multiple linear regression model, the design variables have traditionally been assumed to be non-stochastic. In numerous real-life situations, however, they are stochastic and non-normal. Estimators of parameters applicable to such situations are developed. It is shown that these estimators are efficient and robust. A real-life example is given.
Representation of Multiplicative Seasonal Vector Autoregressive Moving Average Models Yozgatlıgil, Ceylan (Informa UK Limited, 2009-11-01) Time series often contain observations of several variables and multivariate time series models are used to represent the relationship between these variables. There are many studies on vector autoregressive moving average (VARMA) models, but the representation of multiplicative seasonal VARMA models has not been seriously studied. In a multiplicative vector model, such as a seasonal VARMA model, the representation is not unique because of the noncommutative property of matrix multiplication. In this articl...
Minimum variance quadratic unbiased estimation for the variance components in simple linear regression with onefold nested error Gueven, Ilgehan (Informa UK Limited, 2006-01-01) The explicit forms of the minimum variance quadratic unbiased estimators (MIVQUEs) of the variance components are given for simple linear regression with onefold nested error. The resulting estimators are more efficient as the ratio of the initial variance components estimates increases and are asymptotically efficient as the ratio tends to infinity.
Estimation and hypothesis testing in multivariate linear regression models under non normality İslam, Muhammed Qamarul (Informa UK Limited, 2017-01-01) 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 modifie...
Linear contrasts in experimental design with non-identical error distributions Senoglu, B; Tiku, ML (Wiley, 2002-01-01) Estimation of linear contrasts in experimental design, and testing their assumed values, is considered when the error distributions from block to block are not necessarily identical. The normal-theory solutions are shown to have low efficiencies as compared to the solutions presented here.

Citation Formats

B. Gueven, “The limiting distribution of the F-statistic from nonnormal universes,” STATISTICS, pp. 545–557, 2006, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/63551.