Estimation of slope for linear regression model with uncertain prior information and student-t error
Article
Article Title | Estimation of slope for linear regression model with uncertain prior information and student-t error |
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ERA Journal ID | 791 |
Article Category | Article |
Authors | Khan, Shahjahan (Author) and Saleh, A. K. Md. E. (Author) |
Journal Title | Communications in Statistics: Theory and Methods |
Journal Citation | 37 (16), pp. 2564-2581 |
Number of Pages | 28 |
Year | 2008 |
Publisher | Taylor & Francis |
Place of Publication | USA |
ISSN | 0361-0926 |
1532-415X | |
Digital Object Identifier (DOI) | https://doi.org/10.1080/03610920802040399 |
Web Address (URL) | http://www.math.mcmaster.ca/bala/comstat/cis_tm_v37.html |
Abstract | This article considers estimation of the slope parameter of the linear regression model with Student-t errors in the presence of uncertain prior information on the value of the unknown slope. Incorporating uncertain non sample prior information with the sample data the unrestricted, restricted, preliminary test, and shrinkage estimators are defined. The performances of the estimators are compared based on the criteria of unbiasedness and mean squared errors. Both analytical and graphical methods are explored. Although none of the estimators is uniformly superior to the others, if the non sample information is close to its true value, the shrinkage estimator over performs the rest of the estimators. |
Keywords | bias; mean square error and relative efficiency; incomplete beta ratio; mixture distribution of normal and inverted gamma; multiple regression model; non central chi-square and F distributions; preliminary test and shrinkage estimators; student-t errors |
ANZSRC Field of Research 2020 | 490510. Stochastic analysis and modelling |
490509. Statistical theory | |
490103. Calculus of variations, mathematical aspects of systems theory and control theory | |
Public Notes | File reproduced in accordance with the copyright policy of the publisher/author. |
Byline Affiliations | Australian Centre for Sustainable Catchments |
Carleton University, Canada |
https://research.usq.edu.au/item/9ywyy/estimation-of-slope-for-linear-regression-model-with-uncertain-prior-information-and-student-t-error
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