Heteroscedastic symmetrical linear models

Francisco José A. Cysneiros, Gilberto A. Paula and Manuel Galea

Statistics & Probability Letters, 2007, vol. 77, issue 11, 1084-1090

Abstract: We discuss in this paper heteroscedastic linear models with symmetrical errors. The symmetrical class includes all symmetrical continuous distributions such as normal, Student-t, power exponential, logistics I and II, contaminated normal, so on. The variety of error distributions with different kurtosis coefficients than the normal one may give more flexibility in the choice of an appropriate error distribution, particularly to accommodate outlying and influential observations. We derive a joint iterative process for estimating the location and dispersion coefficients and we discuss some robustness aspects of the maximum likelihood estimates against outlying and large variance observations. The score test proposed by Cook and Weisberg [1983. Diagnostics for heteroscedasticity in regression. Biometrika 70, 1-10] is generalized and some diagnostic procedures such as leverage, local influence and residual analysis are derived. Finally, a data set is analyzed under heteroscedastic linear models with normal and heavy-tailed error distributions.

Keywords: Diagnostic; methods; Elliptical; distributions; Local; influence; Score; test:; Robust; methods (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(07)00046-6
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:stapro:v:77:y:2007:i:11:p:1084-1090

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().