Estimation of parameters of the simple multivariate linear model with student-t errors

Khan, Shahjahan (2005) Estimation of parameters of the simple multivariate linear model with student-t errors. Journal of Statistical Research, 39 (2). pp. 79-94. ISSN 0256-422X


This paper considers estimation of the intercept and slope vector parameters of the simple multivariate linear regression model with Student-t errors in the presence of uncertain prior information on the value of the unknown slope vector. The unrestricted,restricted, preliminary test, shrinkage, and positive-rule shrinkage estimators are defined together with the expressions for the bias, quadratic bias, quadratic risk and mean squared errors
(mse) functions of the estimators are derived. Comparison of the estimators is made using quadratic risk criterion. Based on the study we conclude that for p> or = 3 shrinkage estimators are
recommended, and for p< or = 2, the preliminary test estimators
are preferable.

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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Faculty / Department / School: Historic - Faculty of Sciences - Department of Maths and Computing
Date Deposited: 11 Oct 2007 00:37
Last Modified: 02 May 2017 00:16
Uncontrolled Keywords: multivariate regression model; student-t errors; unrestricted; restricted; preliminary test; shrinkage and positive-rule shrinkage estimators; bias; quadratic risk; mean squared error and relative efficiency
Fields of Research : 01 Mathematical Sciences > 0104 Statistics > 010405 Statistical Theory
Socio-Economic Objective: E Expanding Knowledge > 97 Expanding Knowledge > 970101 Expanding Knowledge in the Mathematical Sciences

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