The distribution of the residual from a general elliptical multivariate linear model

José A. Díaz-García and Ramón Gutiérrez-Jáimez

Journal of Multivariate Analysis, 2006, vol. 97, issue 8, 1829-1841

Abstract: Given a general multivariate linear model of full or less than full rank, we find the distributions of internally and externally studentised residuals, assuming normal and elliptical distributions.

Keywords: Residual; Studentised; residual; Pearson; type; II; distribution; Matrix-variate; t; distribution; Elliptical; distribution; Singular; distribution; Matricvariate; t; distribution (search for similar items in EconPapers)
Date: 2006
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