Nonnormal regression. II. Symmetric distributions

Date

2001-01-01

Author

Tiku, ML
İslam, Muhammed Qamarul
Kestel, Sevtap Ayşe

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Salient features of a family of short-tailed symmetric distributions, introduced recently by Tiku and Vaughan [1], are enunciated. Assuming the error distribution to be one of this family, the methodology of modified likelihood is used to derive MML estimators of parameters in a linear regression model. The estimators are shown to be efficient, and robust to inliers. This paper is essentially the first to achieve robustness to infers. The methodology is extended to long-tailed symmetric distributions and the resulting estimators are shown to be efficient, and robust to outliers. This paper should be read in conjunction with Islam et al. [2] who develop modified likelihood methodology for skew distributions in the context of linear regression.

Subject Keywords

Symmetric, Distributions, Modified likelihood, Regression, Robustness, Kurtosis, Hypothesis testing

URI

https://hdl.handle.net/11511/30054

Journal

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS

DOI

https://doi.org/10.1081/sta-100104348

Collections

Graduate School of Applied Mathematics, Article

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Citation Formats

M. Tiku, M. Q. İslam, and S. A. Kestel, “Nonnormal regression. II. Symmetric distributions,” COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, pp. 1021–1045, 2001, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/30054.