Constrained test in linear models with multivariate power exponential distribution

Jeremias Leão (), Francisco Cysneiros, Helton Saulo and N. Balakrishnan
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Jeremias Leão: Universidade Federal do Amazonas
Francisco Cysneiros: Universidade Federal de Pernambuco
N. Balakrishnan: McMaster University

Computational Statistics, 2016, vol. 31, issue 4, No 17, 1569-1592

Abstract: Abstract We investigate the problem of testing equality and inequality constraints on regression coefficients in linear models with multivariate power exponential (MPE) distribution. This distribution has received considerable attention in recent years and provides a useful generalization of the multivariate normal distribution. We examine the performance of the power of the likelihood ratio, Wald and Score tests for grouped data and in the presence of regressors, in small and moderate sample sizes, using Monte Carlo simulations. Additionally, we present a real example to illustrate the performance of the proposed tests under the MPE model.

Keywords: Hypothesis tests; Restricted estimation; Repeated measures; Monte Carlo simulations; Likelihood ratio tests; Wald tests; Score tests (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s00180-016-0650-x

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