M-tests for multivariate regression model
Article
Article Title | M-tests for multivariate regression model |
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ERA Journal ID | 815 |
Article Category | Article |
Authors | Yunus, Rossita M. (Author) and Khan, Shahjahan (Author) |
Journal Title | Journal of Nonparametric Statistics |
Journal Citation | 23 (1), pp. 201-218 |
Number of Pages | 18 |
Year | 2011 |
Place of Publication | United Kingdom |
ISSN | 1026-7654 |
1029-0311 | |
1048-5252 | |
Digital Object Identifier (DOI) | https://doi.org/10.1080/10485252.2010.503896 |
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. |
Keywords | pre-test test; non-sample prior information; asymptotic distribution; asymptotic power; M-estimation; bivariate non-central chi-square distribution |
ANZSRC Field of Research 2020 | 490510. Stochastic analysis and modelling |
490509. Statistical theory | |
490101. Approximation theory and asymptotic methods | |
Public Notes | Files associated with this item cannot be displayed due to copyright restrictions. |
Byline Affiliations | Department of Mathematics and Computing |
Institution of Origin | University of Southern Queensland |
https://research.usq.edu.au/item/q0897/m-tests-for-multivariate-regression-model
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