Bias corrected estimates in multivariate student t regression models |
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Authors: | Klaus L P Vasconcellos Gauss M Cordeiro |
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Institution: | Departamento de Estatistica , CCEN/UFPE Cidade Universitaária , Recife, 50.740-540, Brazil |
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Abstract: | The t distribution has proved to be a useful alternative to the normal distribution especially When robust estimation is desired. We consider the multivariate nonlinear Student-t regression model and show that the biased of the estimates of the regression coefficients can be computed from an auxiliary generalized linear regression. We give a formula for the biases of the estimates of the parameters in the scale matrix, which also can be computed by means of a generalized linear regression. We briefly discuss some important special cases and present simulation results which indicate that our bias-corrected estimates outperform the uncorrected ones in small samples. |
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Keywords: | Bias correction log-likelihood derivatives maximum likelihood estimation multivariate nonlinear regression multivariate Student-t distribution |
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