Linear regression models with slash-elliptical errors

Izabel Cristina Alcantara and Francisco José A. Cysneiros

Computational Statistics & Data Analysis, 2013, vol. 64, issue C, 153-164

Abstract: We propose a linear regression model with slash-elliptical errors. The slash-elliptical distribution with parameter q is defined as the ratio of two independent random variables Z and U1q, where Z has elliptical distribution and U has uniform distribution in (0,1). The main feature of the slash-elliptical distribution is to have greater flexibility in the degree of kurtosis when compared to the elliptical distributions. Other advantages of this distribution are the properties of symmetry, heavy tails and the inclusion of the elliptical family as a limit case when q→∞. We develop the methodology of estimation, hypothesis testing, generalized leverage and residuals for the proposed model. In the analysis of local influence, we also develop the diagnostic measures based on the likelihood displacement under the some perturbation schemes. Finally, we present a real example where slash-Student-t model is more stable than other considered models.

Keywords: Heavy-tailed distribution; Leverage; Local influence; Residuals; Robust models; Slash-elliptical distribution (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167947313000856
Full text for ScienceDirect subscribers only.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:64:y:2013:i:c:p:153-164

DOI: 10.1016/j.csda.2013.02.029

Access Statistics for this article

Computational Statistics & Data Analysis is currently edited by S.P. Azen

More articles in Computational Statistics & Data Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().