Predictive Inference for the Elliptical Linear Model

B. M. Golam Kibria and M. Safiul Haq

Journal of Multivariate Analysis, 1999, vol. 68, issue 2, 235-249

Abstract: This paper derives the prediction distribution of future responses from the linear model with errors having an elliptical distribution with known covariance parameters. For unknown covariance parameters, the marginal likelihood function of the parameters has been obtained and the prediction distribution has been modified by replacing the covariance parameters by their estimates obtained from the marginal likelihood function. It is observed that the prediction distribution with elliptical error has a multivariate Student'st-distribution with appropriate degrees of freedom. The results for some special cases such as the Intra-class correlation model, AR(1), MA(1), and ARMA(1,1) models have been obtained from the general results. As an application, the[beta]-expectation tolerance region has been constructed. An example has been added.

Keywords: elliptical distribution linear model marginal likelihood ARMA(1; 1) model prediction distribution [beta]-expectation tolerance region (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (6)

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