A generalized class of estimators in linear regression models with multivariate-t distributed error

R. Karan Singh, Sheela Misra and S. K. Pandey

Statistics & Probability Letters, 1995, vol. 23, issue 2, 171-178

Abstract: A generalized estimator representing a class of estimators is proposed for the estimation of regression coefficients in the linear regression model when the error components have the joint multivariate Student-t distribution. Approximate expressions for the bias and the risk of the proposed generalized estimator under a general quadratic loss function are found and a comparative study among some of the estimators of the class is made. A generalized efficiency (dominance) condition of the class over the usual minimum variance unbiased estimator (MVUE) is also given.

Keywords: Linear; regression; model; Multivariate; Student-t; distribution; Generalized; dominance; condition; Bias; and; risk (search for similar items in EconPapers)
Date: 1995
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