Preliminary Test Estimators Induced by Three Large Sample Tests for Stochastic Constraints in a Regression Model with Multivariate Student-t Error

被引：1

作者：

Chang, Xinfeng ^{[1
]}

Yang, Hu ^{[2
]}

机构：

[1] Jiangsu Univ, Dept Stat, Zhenjiang 212013, Jiangsu, Peoples R China

[2] Chongqing Univ, Dept Stat & Actuarial Sci, Chongqing 630044, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2014年 / 43卷 / 17期

关键词：

Preliminary test estimator; Student-t error; Wald test; Likelihood Ratio test; Lagrangian Multiplier test; PARAMETERS; VARIANCE;

D O I：

10.1080/03610926.2012.705207

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this article, we consider the preliminary test approach to the estimation of the regression parameter in a multiple regression model with multivariate Student-t distribution. The preliminary test estimators (PTE) based on the Wald (W), Likelihood Ratio (LR), and Lagrangian Multiplier (LM) tests are given under the suspicion of stochastic constraints occurring. The bias, mean square error matr ix (MSEM), and weighted mean square error (WMSE) of the proposed estimators are derived and compared. The conditions of superiority of the proposed estimators are obtained. Finally, we conclude that the optimum choice of the level of significance becomes the traditional choice by using the W test.

引用

页码：3629 / 3640

页数：12

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