Estimation of the parameters of a regression model with a multivariate t error variable |
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| Authors: | Brajendra C. Sutradhar Mir M. Ali |
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| Affiliation: | 1. Department of Mathematics Statistics , Memorial University of Newfoundland , Canada;2. Department of Statistical , Actuarial Sciences The University of Western Ontairo , Canada |
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| Abstract: | This paper deals with a regression model for several vari¬ables under the assumption that the errors have a multivariate t-distribution. The parameters of the model, the regression parameters, as well as the scale parameters and the degress of freedom of the error variable are estimated and the estimation procedure is illustrated by a numerical example, Also, the prop¬erties of the estimators and tests for the regression parameters are discussed. |
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| Keywords: | regression model multivariate t distribu¬tion method of moments stock market problem consistent estimators testing of hypothesis |
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