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Inference in multivariate linear regression models with elliptically distributed errors

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dc.contributor.author Islam, M. Qamarul
dc.contributor.author Yıldırım, Fetih
dc.contributor.author Yazıcı, Mehmet
dc.date.accessioned 2017-06-22T12:13:54Z
dc.date.available 2017-06-22T12:13:54Z
dc.date.issued 2014-08-03
dc.identifier.citation Islam, M.Q., Yıldırım, F., Yazıcı, M. (2014). Inference in multivariate linear regression models with elliptically distributed errors. Journal of Applied Statistics, 41(8), 1746-1766. http://dx.doi.org/10.1080/02664763.2014.890177 tr_TR
dc.identifier.issn 0266-4763
dc.identifier.uri http://hdl.handle.net/20.500.12416/1628
dc.description.abstract In this study we investigate the problem of estimation and testing of hypotheses in multivariate linear regression models when the errors involved are assumed to be non-normally distributed. We consider the class of heavy-tailed distributions for this purpose. Although our method is applicable for any distribution in this class, we take the multivariate t-distribution for illustration. This distribution has applications in many fields of applied research such as Economics, Business, and Finance. For estimation purpose, we use the modified maximum likelihood method in order to get the so-called modified maximum likelihood estimates that are obtained in a closed form. We show that these estimates are substantially more efficient than least-square estimates. They are also found to be robust to reasonable deviations from the assumed distribution and also many data anomalies such as the presence of outliers in the sample, etc. We further provide test statistics for testing the relevant hypothesis regarding the regression coefficients tr_TR
dc.language.iso eng tr_TR
dc.publisher Taylor&Francis Ltd tr_TR
dc.relation.isversionof 10.1080/02664763.2014.890177 tr_TR
dc.rights info:eu-repo/semantics/closedAccess
dc.subject Least-Squares Estimates tr_TR
dc.subject Maximum Likelihood Estimates tr_TR
dc.subject Modified Maximum Likelihood Estimates tr_TR
dc.subject Multivariate Distributions tr_TR
dc.subject Multivariate T-Distribution tr_TR
dc.subject Robust Estimates tr_TR
dc.subject 62J05 tr_TR
dc.subject 62F35 tr_TR
dc.subject 62H12 tr_TR
dc.title Inference in multivariate linear regression models with elliptically distributed errors tr_TR
dc.type article tr_TR
dc.relation.journal Journal of Applied Statistics tr_TR
dc.contributor.authorID 6772 tr_TR
dc.contributor.authorID 144084 tr_TR
dc.identifier.volume 41 tr_TR
dc.identifier.issue 8 tr_TR
dc.identifier.startpage 1746 tr_TR
dc.identifier.endpage 1766 tr_TR
dc.contributor.department Çankaya Üniversitesi, Mühendislik Fakültesi, Endüstri Mühendisliği Bölümü; Çankaya Üniversitesi, İktisadi ve İdari bilimler Fakültesi, İktisat Bölümü tr_TR


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