Rahman, Azizur and Khan, Shahjahan (2008) Prediction distribution for linear regression model with multivariate student-t errors. Far East Journal of Theoretical Statistics, 24 (1). pp. 35-48. ISSN 0972-0863
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Official URL: http://www.pphmj.com/abstract/3050.htm
The Bayesian approach under uniform prior is employed in this paper to derive the prediction distribution for multiple regression model with multivariate Student-t error distribution. Conditional on a set of realized responses, a single and a set of future responses have a univariate and multivariate Student-t distributions respectively, whose degrees of freedom depend on the size of the realized sample and the dimension of the regression parameters' vector but do not depend on the degrees of freedom of the error distribution. Results are identical to those obtained under normal error distribution by a range of statistical approaches such as the structural distribution, structural relations and classical methods. This indicates not only the inference robustness with respect to departures from normal error to multivariate Student-t error distributions, but also indicates that the Bayesian approach with uniform prior is competitive with other statistical methods in the derivation of prediction distribution.
|Item Type:||Article (Commonwealth Reporting Category C)|
|Additional Information:||Awaiting copyright advice.|
|Uncontrolled Keywords:||multiple regression model; multivariate student-t errors; Bayesian method; uniform prior; prediction distribution; beta student-t distributions; uni-variate student-t distributions; multivariate student-t distributions|
|Fields of Research (FOR2008):||01 Mathematical Sciences > 0104 Statistics > 010406 Stochastic Analysis and Modelling|
01 Mathematical Sciences > 0104 Statistics > 010405 Statistical Theory
13 Education > 1303 Specialist Studies in Education > 130303 Education Assessment and Evaluation
|Subjects:||230000 Mathematical Sciences > 230200 Statistics > 230203 Statistical Theory|
|Socio-Economic Objective (SEO2008):||E Expanding Knowledge > 97 Expanding Knowledge > 970101 Expanding Knowledge in the Mathematical Sciences|
|Deposited On:||11 Jul 2008 11:34|
|Last Modified:||21 Aug 2012 14:58|
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