M-tests for multivariate regression model

Yunus, Rossita M. and Khan, Shahjahan (2011) M-tests for multivariate regression model. Journal of Nonparametric Statistics, 23 (1). pp. 201-218. ISSN 1048-5252

Abstract

The M-estimation method is used to define the unrestricted test, restricted test and pre-test test (PTT) for testing the intercept vector of a multivariate simple regression model when it is a priori suspected that the slope vector has some specified values. The asymptotic distribution of the test statistics and the asymptotic power functions of the proposed M-tests are derived. Performances of the M-tests are compared both analytically and graphically. The analytical results as well as an illustrative simulation study to compare the size and power of the M-tests reveal a reasonable dominance of the PTT over the other two tests.


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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Additional Information: Permanent restricted access to published version due to publisher copyright policy.
Depositing User: Professor Shahjahan Khan
Faculty / Department / School: Historic - Faculty of Sciences - Department of Maths and Computing
Date Deposited: 21 Jun 2011 06:54
Last Modified: 24 Aug 2014 21:46
Uncontrolled Keywords: pre-test test; non-sample prior information; asymptotic distribution; asymptotic power; M-estimation; bivariate non-central chi-square distribution
Fields of Research (FOR2008): 01 Mathematical Sciences > 0104 Statistics > 010406 Stochastic Analysis and Modelling
01 Mathematical Sciences > 0104 Statistics > 010405 Statistical Theory
01 Mathematical Sciences > 0102 Applied Mathematics > 010201 Approximation Theory and Asymptotic Methods
Socio-Economic Objective (SEO2008): E Expanding Knowledge > 97 Expanding Knowledge > 970101 Expanding Knowledge in the Mathematical Sciences
Identification Number or DOI: doi: 10.1080/10485252.2010.503896
URI: http://eprints.usq.edu.au/id/eprint/18532

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