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.
|
Statistics for this ePrint Item |
| 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 : | 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: | 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 |
Actions (login required)
 |
Archive Repository Staff Only |