Estimation in multiple regression model with elliptically contoured errors under MLINEX loss

Arashi, M. and Tabatabaey, S. M. M. and Khan, Shahjahan (2008) Estimation in multiple regression model with elliptically contoured errors under MLINEX loss. Journal of Applied Probability and Statistics, 3 (1). pp. 23-35. ISSN 1930-6792

Abstract

This paper considers estimation of the regression vector of the multiple regression model with elliptically symmetric contoured errors. The generalized least square (GLS), restricted GLS and preliminary test (PT) estimators for regression parameter vector are obtained. The performances of the estimators are studied under multiparameter linear exponential loss function (MLINEX), and the dominance order of the estimators are given.


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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Additional Information: Selected Papers from the 9th Islamic Countries Conference on Statistical Sciences (ICCS-IX). Deposited with blanket permission of publisher.
Depositing User: epEditor USQ
Faculty / Department / School: Historic - Faculty of Sciences - Department of Maths and Computing
Date Deposited: 03 Sep 2008 04:25
Last Modified: 27 Jun 2014 01:12
Uncontrolled Keywords: elliptically contoured distribution; GLS estimator; prelim- inary test estimator; MLINEX loss function; moment generating function
Fields of Research (FOR2008): 01 Mathematical Sciences > 0104 Statistics > 010405 Statistical Theory
Socio-Economic Objective (SEO2008): E Expanding Knowledge > 97 Expanding Knowledge > 970101 Expanding Knowledge in the Mathematical Sciences
URI: http://eprints.usq.edu.au/id/eprint/4367

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